I managed to register light gun and it could shoot but cxbx crashed immediately in the first stage.
Tried it again by disabling bezels, exclusive full screen and shaders and it run without crashes even to stage 3. Unfortunately even on a modern cpu (i5 245k in my case), emulation has slowdowns. While VC3 runs smooth.
Only difference are the better textures and vfx. Eg in the Fool boss encounter, you can clearly see the faces of the corpses falling. While on PC even at 1920x1440, those textures were a mess.
So PC version remains the best option till they improve.
Yes, issue was with not copying the patched hot3 exe to exe folder and had it in root folder instead. Now it seems to run