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.