Definition of 'Thunk'
A thunk is a programming construct, sort of like a generic function pointer.
I imagine the error may be originating in any one of the many modules used by ePSXe (it may be in the core binary, but odds are also good that its a debugging message from one of the plugins.)
In any event, if it appears to have no effect on the operation of the app (other than being annoying) I'd say that it's probably a message generated by some strange error condition that hardly ever happens (on most systems.)
It definately isn't related to the color depth of his desktop, more than likely 32 -> 16 has something to do with an address offset, or the size of the pointer.
Only the developers can say for sure, but thats my 2 cents.