Likelihood is you are lacking the correct romset. see these posts:
https://github.com/retropie/RetroPie-Setup/wiki/Managing-ROMs
https://github.com/retropie/RetroPie-Setup/wiki/Neo-Geo
https://github.com/retropie/RetroPie-Setup/wiki/FinalBurn-Alpha
If I were you I would use PiFBA to play neogeo roms.