Sony wants you to re-buy your games. Even supported games can't be run off the DVD and I have doubts that a customized emulator was made specially for Dora's Big Birthday Adventure.
You can do the same with Wii Virtual Console, PS1 games on PSP, and PSP on the Vita. Back when the 360 came out you could do PS1-esque swap tricks to run unsupported Xbox games. I remember Mercenaries had crazy glitches to the point of becoming unplayable, which might explain why it wasn't supported.