This seems like a poor idea for scalability. It seems better to handle the concurrency at the database level (or whatever transactional system the MDB is operating on).
If you really believe it is necessary, you can simulate a singleton MDB by setting the poolSize property to H1 ("hard" instance max of 1) for your EJB. This will cause the EJB container to create at most one instance of your EJB, which means each thread that would deliver a message to the MDB will block waiting for the instance to become available.
-Dcom.ibm.websphere.ejbcontainer.poolSize=YourApp#YourModule.jar#YourEJBName=H1
It is not possible to configure a per-MDB thread pool.