Hello there! Welcome to the forums.
Which console are you emulating it on? And which emulator? I’ve only ever played it on the PS2/GameCube; so I’m assuming you’re on GBA.
I’m guessing you’re using Retroarch, and possibly mgba.
Now, you said you went to the menu and entered settings>controls.
Did you actually mean Quick Settings>Controls, or Settings>Input. They’re drastically different locations.
Quick Settings>Controls references inputs that you have defined within Settings>Input. It is possible that the light key inputs haven’t been defined in your installation.
In order to define them, you’re probably best off starting Retroarch without anything loaded. That way, you won’t be potentially confused with the quick menu that initially comes up.
See how you go. There was an earlier version of Retroarch that had problems with using the GUI to define controls. People used to say to edit the config file in an editor. That’s silly. The fact that you are pushing shift and menu to enter the menu makes me think you’re using a stock installation that could be older. You might need to update your Retroarch. That a whole new can of worms that we’ll tackle if and when we need to.