maybe i misunderstood what you stated.....
but you gave no mention of these methods (one of them already being stated by me)
from what you stated, it looked like (and that's based on the very little info you gave in the first place) that you were suggesting to configure via the Retropie menu which would require a wifi dongle connected
and no mention of actually adding anything to the boot (in the form of a wpa_supplicant or wifikeyfile)......
but maybe i got it wrong (my bad)....
.