You will need a background modifier code(PAR) to play at Goro's Lair with MAME, which I'm wouldn't know how to get because I'm not familiar with MAME, also Goro Lair's doesn't have a stage fatality, but with the background modifier code you can make it possible to do any of the three stage fatalities in MK2 there.

Use the cheat code on the PC version (AICULEDSSUL and tap F9, or any other way what gets you into the cheat menu) and set the arena on Goros lair.

Another possible way is to fight up to Jade or Smoke. When you're fighting them, press start on a second player and hopefully you'll fight in No Name.