Sorry about the wait. I’m not entirely sure if NG+ is supported with the emulation software being used. I don’t know if the last game save properly registers that the game was beaten and then unlocks the NG+ option when starting a new game using that game save (or whatever system Sony has in place to detect this sort of thing)
Unfortunately, the same problem was identified in Metal Gear Solid as well and I don’t think there’s a work around at this time.