The Gunners shelled out a club record fee to Lille for Pepe, who has failed to nail down a regular starting spot in the side.
Pepe is likely to go down as one of the most significant flops in the club's history, and Emery admits he would have preferred Ivory Coast winger Zaha.
"I usually want to sign first the players I know there," Emery told Football London.
"When we played against Crystal Palace, Zaha showed he was a very good player.
"I also think Nicolas Pepe is a very good player. When you make the decision you have to decide how easy the adaption will be of some players.
"I was thinking the adaption was easier for Zaha because he was playing in the Premier League and you didn't know exactly how fast Nicolas Pepe can adapt to the Premier League because I know you can need some time to adapt.
"I was thinking at this time that the adaption of Zaha was probably easier and faster than Pepe."