Do bear in mind that you'll have to get the games onto the compact mac in question.
None came with ethernet, for example, and you'll pay more for the SE/30 ethernet card than you will for the SE/30. Compact mac networking was done via AppleTalk and serial cables.
Not all came with hard drives, especially Pluses and SEs. Furthermore, Pluses and earlier SEs came with 800K floppy drives.
You have to think about how you will get your software onto the compact mac - via floppy? or via a SCSI device, like an external hard drive, CD-ROM or zip-drive, all of which entails more expense.
Remember that these machines are between 20 - 30 years old. Parts fail. Boards will need recapping.
If hassle is an issue, and if you are starting from scratch, old compact macs can be a hassle. With any luck you'll find a decent seller who will do it all for you.
I know that you specified a compact mac, but I wonder whether an old mac like a IIcx might be sufficient for your needs. It is quite expandable, certainly more so than the compact macs and shouldn't cost as much. You won't get the cute little B&W mac, but the range of games will be greatly expanded. Much as I enjoyed playing Prince of Persia, for example, on an SE, I prefered it in color on the IIcx.
The IIcx is relatively inexpensive, partly because the IIci, is bigger brother, is so sought after. However, it just needs a half decent NuBus video card and a adaptor for a low-end LCD monitor. I'm not sure if it's possible to transfer files directly from your modern MBP to a IIcx via ethernet. If not, buy a USB zip drive and a SCSI zip drive, or a SCSI CD-ROM if you are able to burn CDs on your MBP.