To be able to call Emscripten APIs from your own project, you should need to install Emscripten SDK manually, since it is already bundled to UE4, and no copying should be needed either. What you are trying looks fairly good. Try doing the following:
At the top of a .c/.cpp file:
#ifdef __EMSCRIPTEN__
#include <emscripten/emscripten.h>
#endif
and then at the site of use:
#ifdef __EMSCRIPTEN__
emscripten_run_script("alert('hi')");
#endif
The ifdefs ensure that the UE4 compiler doesn’t get confused when it tries to build the code also for other platforms natively. Also try out the latest UE 4.15 if that would work better? If not, please post the full logs, it feels that the “symbol(s) not found” error would be a secondary error after some first error occurred. Was there anything else printed prior to that?