By default the MENU button is not assigned to open the Virtual Keyboard for programs that you load from a USB stick. THEA500 Mini will not know if the program requires the use of the MENU button for its own functionality, or if the virtual keyboard is required.
If the game needs access to the Virtual Keyboard, you can map it to a button of your choice in Game Settings → Map Gamepad. See the section “mapping the gamepad” in the User Manual.