I guess this is a known issue for FPSE 0.09
It does not support anykind of GamePad (yet) officially. 0.09 only emulates PSX Gamepad thru Keyboard - next 10.0 release perhaps?
With Joy0 plugin (there is JoY version 1.1 available 2 download if you havent got it yet) - is only experimental (so it will work on some games, while some games will rejects it.) and not guaranteed to work with any games and i think it is not supported by FPSE team too (?)
So I guess either you have to stick with VGS and ePSXe for good GamePad support, or wait until the next FPSE 10.0 out