Yea. Either we'd need Clickteam to code an export function for the iPhone, which would take oodles of money and time for licensing and actually programming, or we'd need some sort of cut-down version of a windows API emulator, which I'm not sure the iPhone could handle for larger, more memory intensive games. And it doesn't even exist anyway!
It's got 128mb system ram, even my game hits 40mb in graphically intensive areas. the CPU could likely handle them (600mhz underclocked to 412mhz, faster than a PSP). They might work with Java and some rejiggery but it'll likely end up requiring some kind of emulation and cutting performance.