Once I guessed and created a directory in pandora/appdata- all went well.
I have a problem where the pnd simply does not appear to start. This also goes for SDLMame and PandaBAS. I am running the OS from an SD and everything else works fine. I have tried creating various sub-directories in pandora/appdata such as 2600 and stella. but the apps still simply do not appear to start.?
Apologies if I'm reading you wrong, but from what you describe this may be relevant:
Pnds (apps) don't go in the appdata folder, they go in any one of;
pandora/apps/ (app will appear in menu and on desktop)
pandora/desktop/ (app will appear on desktop)
pandora/menu/ (app will appear only in the menu)
You shouldn't need to create any folders yourself in the appdata directory - when you first run any of the Pnds, they will create their own folder structure there, so sometimes you need to run an app and quit it before you try to add bios or rom files on your SD, so that all the correct folders are generated.
FYI, you mention SDLMame - it was overtaken by Mame4all, and now 'PanMAME' is the most up to date version, you'll have a lot more success with those.
If trying to run the 'Fuse' Spectrum emulator, be advised that it requires the community codec pack is installed, and users report that it generates a 'clicking' sound continuously on OS releases from HF7 onward.