There are no such thing as PJ64 specific codes. Same Action Replay codes that have been made for a N64 game will work on Project64 (the emulator emulates the console, after all). When a code doesn't work it usually means either:
1) the code simply wasn't valid to begin with
2) the region of the code and the region of the game do not match (i.e. a code made for the PAL version of a game doesn't necessarily work in the US and J versions of the same game)
3) You Are Doing It Wrong (tm)
Sure, there's always a chance that cheats may fail if the emulator doesn't emulate a certain game adequately enough. Chances of that are usually slim, though.