Probably depends on a number of factors. On my system at home running XP Pro, I can play WinCab Jukebox and MAME at the same time and hear both, but I'm sure different operating systems, jukeboxes, MAME versions, DirectX versions, motherboards, sound drivers, sound chipsets, etc. might have some issue that prevents the background application from playing properly.
I guess the best answer is "try it and see..."
--Chris