Thank you so much, your feedback is much appreciated!
The game saves to cartridge the index of the furthest zone reached, so, when the game is restarted, it is possible to select the zone to start from by pushing the joystick up/down in the menu.
Note: the feature requires an EasyFlash-compatible cartridge/device; on VICE it works perfectly, but on my Kung Fu Flash the feature suddely stopped working, so I opened this issue on GitHub. Could you tell me whether the feature works for you and which cartridge/device you use, please?