I don't know if you ever found a solution to this, but I recently helped someone with a portable DVD player exactly like one in the link you gave (except this one had a "CYBERVIEW" branding on it), and I found out that it does in fact accept NES roms without any modification, but you'll have to use a USB device or an SD card.
The device has to have the FAT32 filesystem. Just copy the .nes files into the device, then plug it into the player. When you press Play, you should be taken to a file explorer. Press the Menu button (the leftmost button of the three buttons in the middle of the two d-pads), then navigate to Game. You should be able to select your ROMs from there.