Air Macau does have a frequent flier program but unfortunately no air partners or alliances.

http://en.airmacau.com.mo

Migrate to any city and look under "Privileges" in the left frame. With 3 roundtrips, one can earn free upgrade. With 5 round trips, a free ticket.

I was pleased with Air Macau on my TPE-MFM-PEK experiences - i.e. the 1.5 hour TPE <-> MFM flights in Y had better service than US carrier trans-cons. Not that it's saying much. But really their frequent flyer program is probably only useful for folks in Taipei who go to China a lot.