They do run Linux, so sometimes new games can be made to work on them, like the new TMNT Shredder's Revenge: https://youtu.be/DpVwO8Z8z-E . And some newer devices can run Android for new games there.

I love emulating old games, but let's be clear: by grey area legality you mean illegal, right :)

Unless you're dumping ROMs yourself of games you own...