I am in no way an expert on stamps, but I can tell you a little about the Vatican in 1929. I pick out that year because MCMXXIX in roman numerals translates to 1929 in arabic numerals. 1929 was an important year in papal history, as it marked the end of the "Roman question." In 1861 the new Italian state had captured nearly all of the territory of the Papal States except Rome and its immediate surroundings. A unit of French troops kept the papacy in charge of that territory until 1870 when they were recalled due to the Franco-Prussian War, and the papacy lost Rome. From 1870-1929 the papacy considered itself to be a "prisoner in the Vatican." The document that tried to address the issue was the 1871 "Law of Guarantees," a unilateral document passed by the Italian government that attempted to regulate how interactions with the papacy would be handled. This document was consistently rejected by the papacy. In 1929 the Lateran Concordat (or Lateran Accords) were signed between the papacy and the Italian state. Here is the Text of the treaty in English. This created the new nation of The Vatican City in Article 3.

So, 1929 saw the beginning of the modern Vatican state. The Lateran Accords are still in place with very few modifications (the establishment clause for Catholicism as the official state religion of Italy has been removed). So, if MCMXXIX references 1929, that stamp would either be one of the last created by the Papal States or one of the first created by the Vatican City. I have no idea if there is any value associated with such a stamp.