Finally managed to sort things out.
The Pi has both AdvanceMame, the current version that has better compatibility but is slow on various classics like Donkey Kong
And Mame4All, a Android/ARM/PSP optimised version based on really old (2001) 0.37 MAME.
The magic word to find stuff for this version is to look for Mame4All, not for 0.37. You can also use ROM files from Taito Legends CD's as these run on old MAME too.