Blake Stone - Don't know.
Dune II - IIRC "Dune: the Battle For Arrakis" for Megadrive is a port of this, so you could play it on Picodrive.
Jazz Jackrabbit - OpenJazz is available for Dingux, may take some tweaking before it runs on the Zero. In the meantime, perhaps you could get the original working in DOSbox or 0x386.
Katawa Shoujo - Although it's open source, I don't know how well the text and graphics would scale to fit the Zero's screen.
TTD - Don't know.
Tyrian - OpenTyrian
GBC,GBA,GBA SP,NDS,NGPC,Panasonic FZ-10 3DO,NES,Sega Nomad,Sega CDX w/Power Base Converter,PS1,PS2,PS3,Saturn,Dreamcast,PC (Win 98, XP, 7),Dingoo A320,Dingoo A330,Gemei A330,LetCool N350JP,PAP-GAMETA,GCW-Zero SE,Kyocera Rise,2DS,GP2X-F100,GPD G7,JXD 100,JXD A1000,JXD A3300,JXD F3000,JXD V5000,JXD S7300B,Hyperkin SupaBoy
Currently playing: Theatrhythm Final Fantasy Curtain Call (2DS)