You can literally skip right to the last level, which makes it practically no different from an individual level run of it. If it's added at all, it'd probably be a Misc.

Unfortunately the level select is due to a cheat being enabled in the multicart. It is somewhat peculiar that this is the case but the game can actually be easily patched and this removed if you want to try and work out some actual any% strats though I doubt there would be any real strats. As an aside, almost all the bad physics in the game can be patched. Mario's bad running up slopes, losing max speed when jumping and even his rate of acceleration can all be corrected to behave properly. Some of these cheats are on the bootleg wiki: http://bootleggames.wikia.com/wiki/Super_Mario_World_(Famicom)

These have been implemented in the hack (plus a graphical update): https://www.romhacking.net/hacks/3467/

Though of course, these modifications would make the game noncomparable and should be placed under a misc category. But would be nice if you actually want to play the game.

Im pretty sure that version of the game linked by crazyjesse is the version you´ll most likely run into when trying to find the rom. The any% category for that game would just the same thing as what we have now. I say a better definition of what any% means coming from @StickKing18 would be needed. Because i already did a speedrun of the game linked above and agree with ROMaster2 when it comes to adding the ´´improvement hack´´ as a separate category since that game feels way different from the original bootleg. IF its going to be added at all.