If it's anything like the Samurai Shodown RPG translation, maybe you need an original BIOS file?
I did have the CDZ BIOS on my SD card. Tried it with and without. Same result both ways.
CDZ is a later edition, try using and earlier original CD bios?
That's the only version the Polymega semi-officially supports. They even check hashes. I even tested with unibios for CD and CDZ, same result. From what I've found, they use a modified version of MAME for Neo-Geo CD support.
Sadly not owning a CDZ or a PolyMega makes it difficult to test, but I'll see if I can wire something up in an emulator to recreate
