When I load a mame game, I start playing and this menu comes up:
This is the MAME menu and it's usually brought up when you press tab on the keyboard or R2 on the gamepad. Is you GPIO gamepad recognized as a keyboard or as a gamepad/controller ?
Also, I've FTP'd in and tried to find the config files.
The input configurations for Mame2003 are not text, but binary and are not readable. If you use the MAME menu to set-up input and you wish to start from scratch, then you can delete the configuration file(s).
Normally, if you configure your input in EmulationStation, it will automatically configure any libretro based emulators/cores, including Mame2003. However if your controller is a keyboard one and one of the buttons is mapped to tab, I can see the MAME menu being brought up when you're trying to play.
For Mame2003-Plus, there should be an option for the Core to disable direct input processing and thus ignore any direct keyboard access so even if you're pressing tab , the menu won't be shown (see here, look for the Input interface option). Other arcade emulators (like FBNeo) don't have this menu or mapping.
NB: we don't recommend using the reset menu option in RetroArch, since it messes with RetroPie defaults and it may cause issues later on. If you've used it, then I recommend you delete the config file and re-install RetroArch to re-add the RetroPie default configuration file.