Well I tried a number of things. (VLC is my media player)
A put the cue file there: VLC showed the Playlist (that is what a CUE does), but VLC could not find the m4b. I then added the m4b file there. still no joy (cue path has encoded spaces:%20 ) using the cue.
I can open the M4B directly with Calibre (it launches VLC in my case), but there is no playlist
to allow switching chapters.
I also failed adding a folder (xyz.ab) which contained the other files.
jpg is the cover (not needed to play)
nfo is details about the audio (not needed to play)