It’s counter intuitive, but the undervoltage indication is often caused by an overcurrent event. A good quality Power Supply will automatically reduce the voltage to prevent an overcurrent. If you try to exceed its rated maximum current, it throttles back the voltage to prevent it.
There are a few other threads along these lines. Also dealing with the Picade Console.
I’m not knocking the Picade Console per say, just that powering what you build can be an issue. And trying to have “one” on off button / “one” power supply.
Even more so if you’re trying to run something from a battery. Especially if it’s Pi based. You have to boost the LIPO’s voltage to 5V. Most times, with an RP2040, you can power it directly from the battery.
I’m lucky in that I can modify what I buy to make it fit for purpose. Getting out the wire cutters, soldering iron, and heat shrink, is not a big deal for me. I do get that it is an issue for some though.
My best advice is, if there is any skill that will help you the most, its learning to properly solder components etc.