So I did a bit more research because I wanted to run the WHDload library.
I edited system:S/user-startup in my Amiga profile running WB4 HDD and added
if exists HDD3:S/GAMELOADER
execute HDD3:S/GAMELOADER
endif
Then I wrote a batch script that gets called by MaLa (with path and rom.ext) to insert the WHDload file
REM Load WHD files for frontend
set GAMEDIR=%~1%
set GAMERUN=%2%
set GAMEFIX=%GAMEDIR:*hdd3\=%
set GAMEFIX=%GAMEFIX:\=/%
REM Create Amiga Boot script
echo cd HDD3:%GAMEFIX%> GAMELOAD
echo whdload %GAMERUN%>> GAMELOAD
REM Amiga no likey DOS files :(
.\dos2unix -n GAMELOAD GAMELOADER
REM start WinUAE
cd E:\_retro\amiga\game\emus
winuae.exe -f Amiga1200WB4PAL.uae -s use_gui=0
Mind you, HDD3 is a defined hard drive in my template so you can rename it or use it
filesystem2=rw,DH3:HDD3:E:\_retro\amiga\game\emus\Hard Drives\HDD3,0
uaehf2=dir,rw,DH3:HDD3:E:\_retro\amiga\game\emus\Hard Drives\HDD3,0
Now, if I could only shut it down. F10 brings me back to the emulator WB screen.