there's no need for the "_". in the mp3 names. "Track01.mp3" is fine. when all else fails.....give it a try.
since you said "burn" instead of "re-burn," maybe you got a bad dump.
does it run on the PC version?
did you use CDDissect? with this program, you can load it with the LUNAR.cue file.
oh yeah, this may be that ancient Neogenesis/Sega CD problem that i ask people to sticky:
-put the iso and mp3's of every seperate sega CD game in its own folder, so Lunar iso and mp3's would be in a LUNAR folder right there inside the roms folder. when the mp3's are scattered with all the other files from different games, it'll take anywhere from 10 to 30 minutes to load up the games. especially with 52 audio tracks.
anyway, if you haven't done this, do it first.