Thanks for the update Darth.
/usr/local/home for the standard ROM directory is much better than /mnt/lynx before. I use now /usr/local/home/lynx. Of course, it would be great, if the last selected directory could be saved together with the screen setting. As a temporary solution, I'm wondering if it would make sense to use /usr/local/home/.handy, since this directory has to exist anyway for the BIOS. The only problem I see, you're unable to navigate back to it, since hidden directories are not displayed in the ROM selector.
Btw, exit and select depends on the game. For example; it works for Block Out, Blue Lightning and Chip's Challenge, but it doesn't work for Batman Returns, Klax and Rampart. Pretty strange behaviour.