Writing up a direct proof for Rothberger based upon Caruvana's references.
It's unclear why I didn't think to try it, but it's much easier to think about the K-Rothberger game in terms of its dual - by the techniques of that article, it is dual to the compact-open k-cover game ("KO k-game"), where P1 chooses compact sets, and P2 chooses open neighborhoods of those sets. Then P1 (not P2) wins if P2's choices form a k-cover.
So P2 having a winning Markov strategy in the K-Rothberger game is equivalent to P1 having a winning predetermined strategy in the KO k-game. This is exactly the property where there exists a countable sequence of compact sets $K_n$ such that for any neighborhood assignment $U_n\supseteq K_n$, the assignment forms a k-cover.
So let's assume $T_1$, and we'll show this is equivalent to hemicompactness. Given a witness $K_n$ for hemicompactness, it's immediate that any neighborhood assignment creates a $k$-cover.
So take the countable sequence of compact sets $K_n$ such that for any neighborhood assignment $U_n\supseteq K_n$, the assignment forms a k-cover. We will show that these $K_n$ witness hemicompactness. To see this, suppose not, and let $x_n\in K\setminus K_n$ for some compact set $K$ for all $n<\omega$. Since the space is $T_1$, $U_n=X\setminus\{x_n\}$ is a neighborhood assignment, but $K\not\subseteq U_n$ for all $n<\omega$; thus the neighborhood assignment is not a k-cover, a contradiction.
And here's a direct proof for Menger that doesn't rely on casting things to the hyperspace of compact subsets (and illustrates how to avoid the issue brought up in my original question).
Hemicompactness directly yields a winning Markov strategy for P2 in the K-Rothberger game, and each such strategy is also a winning Markov strategy for P2 in the K-Menger game.
Let $X$ be regular. We wish to show that a winning Markov strategy $\sigma$ in the K-Menger game implies hemicompactness.
Consider the set $\mathcal R_n$, the collection of all compact sets contained within some element of $\sigma(\mathcal U,n)$ for all k-covers $\mathcal U$. We claim for each compact $K$ that $K\in\mathcal R_n$ for some $n<\omega$. To see this, suppose not. Then for each $n<\omega$ P1 could pick a k-cover $\mathcal U_n$ such that $K$ is not contained within any open set in $\sigma(\mathcal U_n,n)$, defeating $\sigma$, a contradiction.
We claim $\bigcup\mathcal R_n$ is relatively compact. Given an open cover $\mathcal V$ of $X$, let $\mathcal U=\{\bigcup\mathcal F:\mathcal F\in[\mathcal V]^{<\aleph_0}\}$, a k-cover. So denote $\sigma(\mathcal U,n)=\{\bigcup\mathcal F_i:i<N\}$. Consider $\mathcal F=\bigcup\{\mathcal F_i:i<N\}$, a finite subset of $\mathcal V$. Given $x\in\bigcup\mathcal R_n$, pick a compact set $K\in\mathcal R_n$ with $x\in K$. By definition, $K$ is contained in some element $\bigcup\mathcal F_I$ of $\sigma(\mathcal U,n)=\{\bigcup\mathcal F_i:i<N\}$. Thus, $x\in K$ belongs to some element of $\mathcal F_I\subseteq\mathcal F$, showing $\mathcal F$ is a finite subcollection of $\mathcal V$ covering $\bigcup\mathcal R_n$.
Finally, let $K_n=\overline{\bigcup\mathcal R_n}$. By regularity, the closure of this relatively compact set is compact. And for every compact $K$, there exists some $n<\omega$ with $K\in\mathcal R_n$, and therefore $K\subseteq K_n$. Thus $K_n$ witnesses hemicompactness.