Depends - I can't speak to GameEx specifically - Tom would know on their forums.
EmuLoader creates a manual list of game names with all the info, so you can edit this. However, if you do so then if you were to update MAME and re-build the gamelist, all the info would be added back, so you have to manually update the game lists from that point on if you do this.
(Just mentioning this in case GameEx uses a similar method).
Alternately, you could definitely edit the MAME source files to change the names and recompile and then rebuild the gamelist in GameEx to fix it. (Maybe even write a batch file to automate it). But again, you would then need to custom-compile your own MAME version every time you wanted to update MAME.