It is possible, but has to be hand coded for each game pretty much. The way mame hi score's are saved are it just saves a chunk of memory to disk. To get mame to do it properly, you dont need to know how its stored, just where, so each file is different to the next. Some are easy to work out, being basically in plain ascii, others are a damn site harder, with it storing a list of names, then a list of scores, some store them in hex, some in decimal etc.
You then also have a problem with games that dont store their hi scores using the mame hi score feature, but instead store it in an nvram file. This is kinda the same problem, but its worse because nvram files store lots of stuff and can be big, whereas most of the hi-score files just grab the memory needed for the hi score table.
I started writing a Java app to help work out each file format, then convert it to some form of data file, and I was going to use it in my front-end I am working on. I worked out about 20 odd of my fav games, but havent touched it in a couple of weeks.
If there was a big enough want for this feature I could work on it a bit more formally than my usual "just coding what I need" attitude towards it....