Hi,
Which emulator?, and out of curiosity which game?.
I use the Atari 800 emulator, version 0.7.
http://gp32emu.dcemu.co.uk/atari800gp32.shtml
On this emulator I can select the 5200 (system), and much like for any of the A8 (systems), I can call up the keyboard by pressing the (L)eft and (R)ight shoulder buttons simultaneously.
The "*", is present in the onscreen keyboard, I then scroll with the joystick, and place the cursor over the "*", and confirm my selection by pressing the "A" button.