You might be able to set up a little autohotkey (or similar) script to quickly enter the needed inputs (left and right, I think) to dismiss the nag screen when you launch the rom, if the pi version of what you're running will let you launch a script when you select a game.
If you need help with writing something like that, I'd be glad to try, just let me know.
(edit - Realized after initially posting that AHK is a windows thing, and probably doesn't exist on the pi, but there may still be some kind of comparable method for scripting. Offer stands, if something comparable is available)