Interestingly from their faq it looks like you can side load alternative BIOS files for the cd based systems using a usb drive as long as you source them yourself.
Polymega features integrated HLE BIOS functionality for CD-based emulators, which provides coverage for the vast majority of games. You can optionally override HLE BIOS by placing alternative BIOS files on a USB Thumb Drive and importing them to the system using the BIOS override option in the Settings>Game & Interface screen. A list indicating compatible BIOS files will be provided prior to delivery of Polymega, but the files themselves must be sourced elsewhere.