The first Metal Slug doesn't have an all-in-one debug menu like the rest of the series, but instead only a sound test and level select. These are accessed by ticking debug dipswitch 2-1 (see Metal Slug dipswitches for info) and beginning the game; while in a mission, hold Up on the joystick and press the D Button. This will take you to the Sound Test; do it again to access the level select. Big thanks to Keitaro Red for uncovering and sharing this!
The level select is a little bare compared to later offerings. Press the B Button to go to the next option, and press the A Button to select it. That's your lot!
Until this discovery, the only means of accessing these was by editing the level value using something like Cheat Engine; that's unnecessary now, but the savestates and values are left here just for posterity.
Mission 2. This begins with a soldier expressing fright at a Metal Slug, and once you leap into it several enemies rain from the sky.
For some reason the Metal Slug can only aim upwards; the vulcan refuses to budge if you push it beyond 45 degree angles.
There's a few floating objects, including an unused sandbag variant and a few boat floating in mid-air. The screen locks before the part where the second Di Kokka rolls in.
One unifying trait with all these unused stages is whenever you die, you respawn by parachuting in.
Mission 4. This begins with one of the boss tanks from this stage, but there's nothing afterward (literally, the sprites are missing for the cliffs and such) until the very end, where there's two Girida-O tanks and two soldiers.
Mission 5. This stage appears to be a graveyard for old code, as there's a number of oddities you might not notice at first glance; it otherwise seems like the usual stage with more soldiers, every weapon in the game, and less vehicles.
For instance, the turret at the start: a soldier will run in from the right and board it! You can kill them, but they won't aim, fire or otherwise move once they're on it. A leftover from the early development?
There are also weird tan bars every now and then, some of which can be used as platforms if you can reach them; some of them have no collision data. You can actually move these around using player 2's joystick, and if they have collision data, you use them to carry Marco and other objects around, or even push them through the floor. Cheers to Keitaro Red for this factoid!
The Metal Slug only aims in cardinal directions; it will still fire diagonally while switching directions, but it cannot be aimed anywhere in-between. Either this is a strange unused variant of the Metal Slug, or some sort of leftover from its days of button-based aiming.
Mission 5. Nothing happens. The level starts and nobody appears. The door swings open, but that's it. Not even making player 2 join in will do anything!
An option on the level select between the endings and unused stages. Just loads Mission 1 with seemingly no changes.
The last option on the level select. Kicks you to a black screen with no objects besides the HUD.
ENDING 1 is listed twice on the level select, for some reason.