Choose Raiden Fighters Jet. Set the difficulty to practice (no shots fired), but with this mode you will have bullets shot at you when you kill someone. Also if you die on the last level you start at the beginning.
So set the continues to free play and have a second controller available. When you get to the final stage, if you are down to one life jump in on your second controller. This will allow you to continue playing where you died. I found it easiest to use that second controller as a safety net and just kept jumping back in with my main controller after I saved my place with the second.