This is not limited to MS Mahjong, the daily solitaire games also refuse to load, occasionally. Microsoft is usually useless in helping to resolve issues as they are too occupied with proving that it's your fault and making you resolve the issue yourself rather than be bothered with customer service.
IAHO, based on observing when and how games refuse to load, is that the problem is related to their adds being glitchy, sometimes. If the adds won't load the application, or specific games, won't load. Remember, they're first priority is selling stuff for themselves or their advertisers.