MegaSD on real hardware. Latest firmware. From what I understand, the MegaSD creates a file whenever you start up (or save) a game that has battery-backup capabilities. In this case, the file would be called "GunSlugs_RC2.srm". All .srm files are stored at root in a folder called "BUP". At the moment, Kega Fusion creates the same kind of file and stores it root. Hm.. idea just popped into my head. I'll copy Kega's .srm into my BUP folder on my MegaSD, re-name it to match the rom, and let you know if I have any luck.
Okay, sadly Kega's .srm file wasn't recognized by my MegaSD. This is as far as my knowledge goes, but the discord forum is pretty helpful. I'm sure they can give you an easy fix. Here is the link:
https://discord.com/channels/525743232886505504/590246931234553868