PCSX2, unlike Play!, will not work without a real BIOS. You need a working BIOS inside /pcsx2/bios.
You can put all the asset files there from your regular PCSX2 install. It’s available for Windows only right now, but the same core has been tested to work on Xbox One/Series systems as well. Today we’re releasing an alpha version of the PCSX2 libretro core on the buildbot. PCSX2 Alpha core available for Windows now!