Which type of shader to use depends on your video driver and core. Go to settings > driver and see what your video driver setting is. If you haven’t changed anything, it should be “gl”, which works with Cg or GLSL shaders. If it’s “vulkan” then you have to use slang shaders. If you’re on Android (or anything using an ARM processor), you have to use GLSL. If it’s “d3d” (which isn’t common at all), you have to use Cg (and even some of them probably won’t work correctly).
Since the saturn cores are software-rendered, they don’t care which video driver you use, but there are some cores, like mupen64plus-libretro, that require OpenGL, and others, like ParaLLEl-N64, that require vulkan.
tl;dr:
Try Cg. If that doesn’t work, try GLSL. If that doesn’t work, try slang.
EDIT: btw, you can see a preview of the various shaders using an upscaling test image at https://github.com/libretro/shader-previews