Also, several life energy hearts can be exploited like that third key. I noticed this a lot in the 4th stage.
Sometimes the area's load screen gets stuck. There seems to be variable load time. A few times I've just loaded a save state because it doesn't seem it will make it through. The screen for the finale stage locked up twice. I'm playing using the Mesen 0.9.9 core in RetroArch.
Is it intentional there is no indication how many lives you have? Once I got to the 5th stage death was permanent, and I wasn't sure if that's just a function of being in the enemy's main headquarters or if I had a certain amount of lives and had lost my final one.
(Great game btw! Just reporting the bugs so you can get them out.)