Ah, I think I know what's going on. Gnuboy tries to store some configuration somewhere, I think after looking at the sources. I did not even notice this.
Well, the trick is to set a proper HOME. Since this stored data isn't important anyway (I think), I suggest to run it like
HOME=/tmp ./fbgnuboy tetris.gb 2>gnuboy.log
(for me, there was always a HOME set to a directory beneath /mnt/us, I think kite might not do something like this and leaves it or sets it to /)