"The Joystick library can only be used with a USB MCU" while using pro micro

This has nothing to do with the physical board. The compilation is failing on your computer. That would happen even if you didn't own a Micro and didn't have anything at all connected to your computer.

You need to find out what is wrong with the software installed on your computer.

What happens if you compile this minimal test sketch?

#if !defined(USBCON)
#error USBCON is not defined!
#endif
void setup() {}
void loop() {}