3.1 PPSSPP only runs PSP executables (EBOOT.PBP) or disc images (ISO/CSO). Since no PSP disc of Shaolin Monks was ever mastered, no legitimate file matches.
Direct the app to the folder containing your Mortal Kombat - Shaolin Monks.iso file.
[Get Emulator & BIOS] ➔ [Download Game ISO] ➔ [Extract ZIP] ➔ [Configure & Play]
Keep this at 1x Native for lower-end devices. If you have a flagship phone, you can increase it to 2x or 3x for crisp HD visuals.