Beware, Pi zero has 2 micro USB ports : one on the right for power, the second (between the other micro-USB and micro-HDMI port) for USB device like the gamepad (or a keyboard).
Connect :
1/ the HDMI cable to your TV, 2/ connect the power cableto your TV (or to a power adapter if your TV doesn’t offer USB port), 3/ connect the OTG cable with the game pad.
3
First run : controller setup
The first run will extend the partition and automatically reboot.
Then, retropie will ask you to setup the controller.
Simply press each key and, when done, do a long press to ignore keys not present on your controller.