Somewhere between the “VST 5” and “SX” generations, Cubase lost compatibility with .arr files from the Atari era. If you can open the .arr files on the emulated Atari ST, then just save them as .all files and they will import fine into Cubase SL3/SX3.
The problem here is that Steinberg don’t make available an old version capable of doing this conversion that can run without a USB eLicenser (“dongle”), so the very minimum you would need is a USB eLicenser, then you could download a trial license for Cubase 11, which would then let you run SL3/SX3 for a month so you could convert the files from .all to .cpr.
After that, you could decide whether to buy an Elements, Artist or Pro license, all of which can load the converted .cpr files.
[EDIT:] here’s the forum post detailing such a problem case a while back: https://forums.steinberg.net/t/converting-arr-files-in-sx-3-1-doesnt-work/157233