Running multifile images (bin+cue, etc.) from archives?

This has been reported in the past, but when running for example Mednafen PSX from inside a compressed folder, only the cuesheet is extracted and run, leading to a crash, and necessitating manual (or hackish batfile-semi-automated) extraction of the bin file(s) before running.

It has been suggested that always extracting all the contents of an archive, a solution, could make loading take longer for those with multiple games in the same archive (good merged), though those are generally for much smaller size games,

a compromise maybe would be having an option, similarly to how there’s an option for the path to extract files to, to always extract all the contents of archives? or maybe have a “smart” way of only doing this for cue files?

Is there any trick to do this already?