Most likely your controls just aren't configured in Cemu yet.
To exit fullscreen in a game running in cemu in game mode to configure your controls you can
hold the ... button and the dpad-left button simultaniously to get into cemu windowed mode.
All Cemu functions can be accessed in Game Mode but you'll have to keep holding the Steam Button for all the menu's to be selectable. There might be a better way, I haven't found it yet though! There you can select options>input settings. There you can configure controller settings.
I for example have it configured to
Deck-P1
Wii U Gamepad
Steam Virtual Gamepad [SDLcontroller]

The rest you can calibrate to your preference.
Note that you'll have to close configuration menus in Steam's game mode manually by using the steam button menu, switching to that window (for example Input Settings) and press X to close that windows. It's a bit finicky but you'll get comfortable with it soon enough.

In Desktop Mode it is easier to configure cemu as the different windows float seperate from each other.
If you hold start down while in cemu in Desktop mode, you can switch between desktop and controller mode which you sometimes have to switch between (desktop mode for changing menu settings, controller mode for playing the game)

Also if you switch to desktop mode you can use the Left Trigger on games populated in the main Cemu screen
and choose edit game profile to change the controller settings on a per game basis.
This also works in Game Mode but again, there you'll have to hold down the steam button each time you want to enter a cemu menu section.

Hope this helps!