Unfortunately, your progress may be lost for good.
Snes9x stores the in-game saves in a file called gamename.srm. This is actually a part of the cartridge memory and can be used for other things than saving games. For that reason, Snes9x needs to keep also store this same memory in a save-state for when it is being used for such a purpose. If you load a save-state file, it will overwrite the memory that makes up gamename.srm, and all the in-game saves will revert to whatever they were when you saved the state.
The Windows port contains a partial fallback in case something bad like this happens. It will save a file called gamename.oops into the game directory that can be loaded from the load state dialog. This may contain more up-to-date save information, if you're lucky.
The GTK port will save a backup file when you load a state called gamename.undo. This can be loaded from the "Undo Load State" File menu option.