What Mame version are you using, how are you trying to get the screenshots, and with which game for example do you get this ? I tried reproducing this with Mame v0.183 and '1944', and when I hit 'F12' the screenshots end up in my 'snaps/1944' directory with names like '0000.png, 0001.png, 0002.png' etc. [Please note that you cannot just hit 'print screen' on your keyboard to create screenshots, you must use 'F12' and then the screenshots end up in your 'snaps/gamename' directory.]
I haven't actually tested this, but it looks like that if you use HLSL (hlsl_enable 1) you can then set 'hlsl_snap_width' and 'hlsl_snap_height' to the desired size in mame.ini, and will need to use (left) ALT+F12 to create the snapshot.