I have the solution to your problem! The PanGu jailbreak fails to set permissions for newly created files. To fix this, you have to run RetroArch once, then go into iFile.
In iFile, open settings and enable “hidden paths”. Press the (i) on the .RetroArch folder located in /var/mobile/documents/ Set the User, Group, and World permissions to Read,Write,Execute for every group. Open the .RetroArch folder and for every .cfg file (really every file in this folder) and do the same. This includes save states and the history cfgs.
This WILL solve your problem, I can prove it! I have tested this with two stock devices jailbroken with PanGu v1.0 and PanGu v1.1 (Different exploits).