Try removing the supplied libSDL2.so, for starters (this should get rid of libsndio dependency). Actually, try to see if a sufficiently recent version of scummvm is available in your distribution, and ignore the supplied version entirely. Just run scummvm -p <data dir> saga.

Man, ScummVm and DosBox games have not worked on Linux for years now because of very outdated included libraries.

You can remove them, and the script usually looks for the system libraries, thus working, but honestly, it is just easier if you install scummVm or DosBox, and just use the game data to start the games. You can also write your own .BAT files in case of DosBox and add options sometimes not found to access the game Setup, or add options. makes the installation a bit longer, but saves you headaches in the future.

With I have no mouth tho there is a bit of a problem: I don't manage to make the MIDI music work for some reason, so no music for the game. You can use the improved music (there is a thread about it), but with games of this era you trade good quality music for music tracks not properly looping, which can be annoying. I had to end just playing the game on Steam.

This is something that bugs me out: GOG offers game X. Game X is not available on abandonware sites any more, which redirect you to GOG store front. Then GOG goofs out config and removes binaries, or removes the original version of Game X, with an "Improved" modern version. Now good luck making the game work or play as it was originally, coz it's not going back into the abandonware sites!

I have managed to get it working on MX Linux 21 using shared library extracted from a package for Ubuntu focal.

Step by step solution:
1. Go to: packages.ubuntu.com/focal/libjpeg-turbo8
2. Select your architecture (I used amd64 - packages.ubuntu.com/focal/amd64/libjpeg-turbo8/download)
3. There is a link to a .deb package, go there and save the file.
4. Open the downloaded package (in my case it was libjpeg-turbo8_2.0.3-0ubuntu1.20.04.3_amd64) with an archive manager.
There are two nested archives (control.tar.xz and data.tar.xz) inside and some other file.
Open data.tar.xz and find libjpeg.so.8.2.2 .
Now depending on your architecture, copy it into xcummvm/libs/x86_64 or i686 directory as libjpeg.so.8 .

Now launching the game via start.sh should work as intended.