You probably need to set a video mode on launching a rom. I found that setting it to 640×480 stretches the image to nearly full screen.
Press ‘X’ after selecting a rom and you will be presented no with a command screen where you can ‘set video mode for advmame’ (something like that), and try 640×480 etc. Til you find something that works out best for you.
Worth noting perhaps that Im running 16:9 widescreen (I don’t mind a stretches image – prefer it over huge borders!)
This will also work with other emulators such as ScummVM (which also has massive borders!)