Thank you very much Ves!.
It worked perfectly in MAME!.
Just had to reinstall GroovyArcade and following your directions I got it working!.
However in Advmenuplus I had to map all the options to the buttons, since the directional pads doesn't get recognized.
1joy_up, 1joy_down or 2joy_up, 2joy_down doesn't do anything. So I had to map up and down to 1joy_1 and 1joy_4 (buttons 1 and 4) to be able to navigate the menu.
Advmenu recognizes buttons from both of my controllers, but It doesn't recognizes the axys.
On Screen MAME Detects the axys as follows:
Up Joy 1 A5 ROF USB Puzzle -
Down Joy 1 A5 ROF USB Puzzle +
Left Joy 1 A4 ROF USB Puzzle -
Right Joy 1 A4 ROF USB Puzzle +
In Its cfg file it stored them as follows:
Up:
JOYCODE_1_RZAXYS_NEG_SWITCH
Down:
JOYCODE_1_RZAXYS_POS_SWITCH
Left:
JOYCODE_1_RYAXYS_NEG_SWITCH
Right:
JOYCODE_1_RYAXYS_POS_SWITCH
Do you know if this data is useful to make the sticks work?.
Thanks a ton for your help

, my MAME cab is fully working now

.
Regards.