Physical GBA-GCN links won't work. Dolphin only connects to GBA emulators that emulate the GBA's Joybus connectivity properly. The two emulators work together over a network (usually local). You can connect a GCN controller via Mayflash to your computer because Mayflash translates the GCN input into data over USB that your computer can see as buttons. In all likelihood, it doesn't translate any input data the GBA sends over serial output, especially since it's a bit outside of the Mayflash's scope (only advertises GCN controller input as far as I know, not the GBA-GCN connection).
The GBA is more complex than a simple joystick (has its own interrupts, memory map, CPU/LCD/APU to handle), so it's no wonder that Mayflash avoided implementing it.
The GBA is more complex than a simple joystick (has its own interrupts, memory map, CPU/LCD/APU to handle), so it's no wonder that Mayflash avoided implementing it.