Your quadstick was ordered to default to mouse and keyboard at start up.

You would need to select a game controller configuration file for playing a game that uses a controller. In the box was a printed list of the configuration files loaded in your Quadstick:
File number 10 is a basic game controller configuration file. To select it, see the instructions above. That will allow you to interact with the game.
GTA is not a recommended game for new quadstick users since you will spend 90% of the time re-spawning. While you are leaning the basics of the quadstick, choose a game that allows you plenty of time to figure out your next move.
Journey is available on Steam for $5 and will give you plenty of time to figure out each move. You can play it with the
Generic game controller configuration (#10) or the special
Journey configuration (#5).
In QMP, enable the virtual XBox game controller and save preferences to quadstick:

Start the game, then select either files #5 or #10 to play the game. A soft sip on the left hole will bring up the menu to quit the game.
Portal 2 is another self-paced game that is good for learning the basics of the quadstick. It's $2 on Steam at the moment. There is a config for that loaded on your quadstick.
There are reference cards for both games in the papers that came with the quadstick to help you keep track of what the different sip/puff inputs do in the game.
Spend a few days with those games before venturing into a difficult first person shooter. We've had users play GTA V to 100%, but they didn't do that as a beginner.
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