I tried it, too. IMHO, the issues are:
- There is no official Wubi version where you can select "Ubuntu MATE".
- There is no official Wubi version for 15.04. The version on the iso for 15.04 is for 14.10.
- The official Wubi version for 14.10 has known bugs like "Two many primary partitions" error.
But finally, I succeeded. I found this post of user hakuna_matata. At the end of the post there is a link, where you can download a patched version for "Ubuntu MATE": wubi1504SB.exe
It worked for me without any problems.