Yeah, last year I found a page that mentions this, but I checked it only now that you mentioned it.
Here is that page: https://www.gamefaqs.com/turbocd/563727 ... sia/cheats
It indeed works, but only with exit doors. You can't enter the level door where you started the level. (That would be too easy!)In any level, reach the closed exit gate and stand in front of it. Now, hit Select to open the menu, then choose "Game End" and then say "Yes". If done right, the character will enter the closed exit gate as if it were open and you'll reach the next level.
Also, it works in both the JP and US versions. By the way, I accidentally opened the exit the first time instead of using the glitch. Habits are hard to break...