I entered the door after the cutscene following the viking arena room (the one at the start of the Egypt rush) and was sent back to level 1.
Sorry you're having issues! That's a weird one - however that world does change a lot during it and I do believe there is a portion of the level that looks like the first level.
However, we do have a secret hidden in the game that may help you. To make up for the trouble, I'll post it here although I will warn this is from memory (I'll confirm later on): hold the letters 'D' and 'J' at the main menu screen for a level select screen ;)
Thanks for the tip, but I'm pretty sure this isn't intended. I fought Zeus again, and reacquired his lightning and ended up in the second level. Here's a clip of the issue: https://www.twitch.tv/zenicreverie/clip/ArborealCrackySquidKappaClaus-cM4TRVcXu9...