I would think that at the very least you could run one MAME version via the GameEx integrated MAME feature (which has filter options built in) and another configured in an emulator slot.
I've never specifically tried this, but suppose you could as long as you give them recognizable names and directories to distinguish them apart in the paths and within the GameEx Menus.
Even so, it's gong to get awfully confusing and filter options already exist in the GameEx Integrated MAME feature that makes it easy as just selecting them from the menu, Vector Games, Atari Games, etc.
I would really suggest playing around with that first in an effort to circumvent a lot of extra work, as you may be able to achieve your goal quite easily just with this feature..
By default, no, but it can be done.
https://www.gameex.com/instant-sheller-and-shelling-guide/