Hmm, let me look into it...
Okay, 0.130, you could do "cross#.png", with the # the player number... (DLing 0.127) ...
0.127 is the same:
/* first try to load a bitmap for the crosshair */
sprintf(filename, "cross%d.png", player);
global.bitmap[player] = render_load_png(NULL, filename, NULL, NULL);
/* if that didn't work, use the built-in one */
if (global.bitmap[player] == NULL)
I'm not sure what folder cross1.png, etc need to be in, though. Probably the mame root folder. There is something about a crosshair max of "100"; I'm not sure if that's a 10x10 size limit or what. And this is all from looking at the source, so grain of salt and all.