I'm a bit puzzled: I cannot find a way to have Pellison ROM (or specifically Pallison, as I'm playing PAL rn) loop a single level.

Every time I pass the level it advances to the next one and I have to either go through the menu all over again, or to use emulator save states and lose the records.

What am I missing? Thanks.

You could do the savestates which are in the rom on the level before you wanna play. E.g: If you wanna 8-4IL savestate on the end (some seconds before the black screen) of 8-3, and everytime you load the savestate you will wait a bit and pass to 8-4. I hope you understood me well, luck!