Oh wow, that's an interesting issue. Do you have the same behavior when running the game on Windows?
What's strange is that it's supposed to load stages as text files in the "Level" folder, and, well, in the correct order, starting with "mont_saturne_00.lvl" (and if I remember correctly, the game always check if there's a *_00 file to start). However this seems to start on "mont_saturne_04.lvl".
I am thinking though the spawning point in this *_04 part is kinda wrong, as it should be closer to the door!