I don't think so.
for example I have an AHK wrapper for several Reflexive Arcade games.
The program to execute in the windows shortcut properties looks like: (I'm making it up but it's close enough to the real thing)
"c:\ahk\autohotkey.exe" "d:\PC Games\scripts\reflexive.ahk" "d:\Program Files\Feeding Frenzy\FeedingFrenzy.exe"
Basically it calls AHK passes it a script name and the script itself gets passed the name of the game to run and monitor.
When the link (in d:\PC Games) is launched from mamewah, it seems to only see the first part of the command and doesn't start the game, in fct I can't remmeber for sure but I think it doesn't start the script either. If I put the command line in a batch and execute the link to it from mamewah, everything works fine (as long as the execution folder in the shortcut is set to d:\Program Files\Feeding Frenzy)
I'm using XP Pro if it makes a difference.
As far as putting the batch file in the same folder as the game, that works too, but I prefer to have my batch files all in the same spot, it makes backup easy (I don't backup the games themselves, I can always re-isntall if needed). I prefer to modify the shortcut, but your solution works too. Either way I wasn't complaining about that part. In fact, I'm not really complaining at all, I can live with the batch file trick.