Okay, here we go like I’m a five yars old trying to solve JAKKS (more like Jackass) Pacific TV set up 
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STEP 01: I do have required MAME system files extracted from the latest MAME 0.239 standalone build.
RetroArch MAME Current core 0.239 system files (don’t mind 0.232 they just backups) 

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STEP 02: I did set up MAME Current 0.239 config file (MAME.opt). Required settings identified with blue bullet points next to them
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STEP 03: For the sake of the step-by-step following, I do have Capcom 3-in-1 (1942, Commando, Ghosts’n Goblins) (JAKKS Pacific TV Game, Game-Key Ready) (29 MAR 2005 B) placed in rom folder
Afterwards, I tried to load the jak_capc.zip with the MAME - Current 0.239 core but without success 
And below, I tried to explain how I managed to run Spider-Man game from my experience.
I can run Spider-Man successfully within the folder called jakks_gamekey_mv
. The exact look of the folder structure and what lies inside each of zip files are shown below consecutively.
This is bcatdoc.zip and what’s inside 
This is jak_spdm.zip and what’s inside
And this is jak_spdmo sub folder which resides inside of jak_spdm.zip
Also note that, without this exact folder structure, even Spider-Man doesn’t load. I had jakks_gamekey_mv.zip file from MAME 0239 Software List and obtained jak_spdm.zip file from MAME 208 Roms.
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Extracted jakks_gamekey_mv.zip file within a folder and this is what it’s resulted jakks_gamekey_mv > bcatdoc.zip
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I’ve put jak_spdm.zip file inside of jakks_gamekey_mv folder, next to the bcatdoc.zip file 
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Then fired up RetroArch and followed content load up procedure;
Main Menu > Load Content > jak_spdm.zip > Load Archive > Arcade (MAME - Current)
…and voila!
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Sorry, @Duimon hope you excuse me for posting this here 
Rest assured, I have no intention to keep this topic going at this point. I gave up on this. Just wanted to leave my experience as a future reference for whoever might have find it useful somehow 