There's no option to do it, but there is a line in mala.ini (or mala.cfg it's been a while) where Mala writes which game the list was on when it exited.
The simple solution:
If you manually change that or just exit mala while that game is highlighted, then set the ini file to read-only, it should work the way you want.
You'd just have to undo the read-only any time you want to make changes to the mala settings.
The more complicated solution:
If you're familiar with Hyperspin, then you're probably fairly familiar with autohotkey commands.
There is an iniwrite command that can rewrite that line in the ini file before mala is launched.
You'd just launch the autohotkey command instead of mala. It would make the change to the ini file and then launch mala.