Mostly thinking to use on my Retro Duo. How expensive would something like that be?

Should be possible but it would not be easy, the pro controller uses blue tooth so you would need a blue tooth adapter for it to sync to then you would need to translate the pro controllers input to SNES input and that might cause a delay

Probably doable with an Arduino and USB or Bluetooth shield. There are projects like RC car controlled with Wii Remote, based on Arduino with USB host shield and Bluetooth dongle, which is not too different from the thing you want to do. You would need some EE skils (not too much, schematics would be relatively simple) and programming skills, or someone who has them and would do it for you.

I plug my RDP 2.0 into my TV and since the game is still on the RDP screen it feels like a poor man's Wii U. Lol