Not natively, at least that I know of.
Here's a way, but it's not pretty:
MameWah remembers the last list and game selected in its mamewah.cfg file, so you could come up with a way to for the entries in the fiole to be the file you want. If you have any programming experience you can write a script/program that does that for you, otherwise just edit the file by hand, save it under a different name, and launch mamewah from a batch file that replaces the current mamewah.cfg with your file (somewhat dangerous since you loose any other changes that mamewah has made to the cfg file).
that takes care of selecting the same game every time you start mamewh but still doesn't start the game. To do this type of things I use a program called AutoIt (freeware, just google for it) that can send keys to any windows program: all you have to do is set it up to send the "1" key to mamewah after it starts up. There may be other ways or wrappers to do this too.
Not pretty but if it's really important to you it can be done.