I have just been looking into this for you. I have had no luck with AdvanceMAME. I tried various MAME ROMSETS 0.37 - 0.106. And I cannot see where to add ROMS for GNGeo.
FBA (Final Burn Alpha) works really well. You need the BIOS files (000-lo.lo, sfix.sfx and sp-s2.sp1) These should be in the ROM games folder all within one ZIP file neogeo.ZIP
To get the BIOS files do a Google search, neogeo.zip or neogeo BIOS. Mr Silverman will not want LINKs on his website to the actual files. If the ZIP has loads of BIOS files inside it, you can delete them just to leave you with the three I mentioned.