After fixing some issues with the multithreading on the PSP (mainly deallocation of threads from SDL/SDL2), the normal execution of the application works without issues.

The main issue now happens when trying to exit the app, which terminates the main loop in the main thread, causing the application to terminate all other threads(with the latest commit: wait for them to finish and return their status).

The issue mainly seems to happen if the settings menu thread is started after the VGA has rendered a frame(thus allocated in memory using SDL) and the user attempts to terminate the application using the home button(which sets the application termination flag which is used on all other operating systems as well to terminate the main loop and other threads).