A PKG is essentially a container for software on PlayStation systems. For Tekken 4 , which was never officially released on the PS3 Store, these files often represent a "PS2 Classic" conversion.
This usually means the emulator config is wrong. For PS3, try switching from "PS2 Netemu" to "PS2 Classics Placeholder." For PS4, delete the emulator cache in the system settings. tekken 4 pkg