“copied the game ROMs into Yuzu” Yuzu is not a VM or other container and the ROMs are simply stored on disk in their original dumped form… Yuzu doesn’t “store” or “contain” any games.
ROMs are indeed copied “into Yuzu”. They must be loaded into Yuzu’s memory in order for Yuzu to execute their code or render their assets. In copyright law, even loading something to memory constitutes a “copy”.
Also, almost every emulator is a VM; do you think those ARM instructions are running on your x86 processor and its desktop OS kernel natively?