Well, this thing is complicated. All that matters here is just one file, "lemmings" and it's just 67KB. It is compressed (self-extract file), but I can't find which compressor is used and how to uncompress it. To be more complicated, this file don't want to work if 'Amiga Format 18 cover-disk' is not in one of the floppy drives.
Of course, after the game is started all data is uncompressed in the memory. So, it can be saved from the emulator as a state file. But, is this can be of any use to anyone? I can't tell.