Someone give me a hint to these worlds which level star search the key?

The penguins in the basement all namedrop the level the key is in (it's just mixed in with the flavor text)

• Hilltop Ruins: Mad Faerie Riverside
• Metal Underpass: Slum District
• Sphinx Canyon: Ghost Town Refinery
• Caldera Keep: Hellfire Cavern
• Artificial Waterfall: Bubble Basin
• Crystal Tokyo: Frozen Factory Frenzy
• Flying Battery: Unstable Footing Underside
• Rich Reaper's Castle: Shores of Hell

Thanks for the helping but this game have a true ending?

I find all keys and paintings but nothing change.