You can't shortcut a rom directly, but you can create a shortcut that starts mame and loads a rom.
The command line version of mame (dos ver) does everything you want for sure.
The command line of your shortcut would look similar to this:
c:\mame\mame [name of the game to run] [options]
for example:
c:\mame\mame mspacman -nosound
...will run Ms Pac Man without sound
Mame32 DOES support command line as well, you could:
C:\mame32\mame32 mspacman and it will start the game without you ever seeing the GUI, but I don't know if all the options/switches are available via the command line (I assume they are). If you game properties were already configured in mame32 I suppose mame would use the config settings already set there, but I have never tried it or read the documentation about it.
D