I think you have a separate issue other than just not being fast enough to run. Even the slowest computer will 'run' blitz at some speed. The fact that it is jumping back into mamewah is indicative of another issue. What I would do to see exactly what is happening is run mame from a dos prompt....just go to the mame directory and type mame blitz....when it errors out it will tell you why...
edit...as a side note, I have the PC version of blitz 2000 on my cab with a bat file that remaps the pc keys to make the game 100% percent cab friendly. Just an option if you want to play blitz on a cab but don't have the fastest liquid cooled nuclear reactor quad core space age overclocked pc.