No, no, don’t use sudo! Did I tell you to use sudo? No, so why do you use sudo?
You should never use sudo when you don’t need to, you’ll just mess up your file permissions! Especially in your home directory, there is never need to use sudo there. Also, never run GUI programs with sudo.
The directory does not exist. So, create it (without sudo!):
mkdir -p ~/.local/share/visualboyadvance-m/