Finally! I knew there was codes for this game. But I have to say, credit goes to Maxim for these. I had a hunch but he figured it out. Thanks goes to him.
Continue codes If you run out of lives on a particular level, enter the corresponding code on the title screen and press 1 to continue from the same stage. The time limit to enter the code is shorter than the time it takes for the demo to start, so don't enter the code too slowly.