When opening Pandemonium to play I tried to configure my game pad to use (by clicking ESC and then options up the the left) but found that I could only configure tre buttons (fire, jump and special) to my game pad, there's no menu for configuring walking left, right etc, that only worked on the keyboard. I closed the game and then opened it to try again, but it still didn't work. So, instead I opened the folder where I had installed the program and instead of opening the launcher file från GOG "lauch Pandemonium" I opened the the file PANDY.exe (there's also a PANDY3.exe, both of these files openes the game but it looked slightlly different inside these two versions), and then the buttons of the game pad just worked! So I figured something was wrong with the lauch file, but the next time I opened the lauch file the buttons worked then too.

I'm not sure exactly what happened but in case someone is frustrated about their game pad not working, give it a try opening one of these two exe-files.