How was the save made?

I used an in-game code that allows you to access all the stages from the start menu, I entered the Gantu! stage and finished it, went back to the game and it unlocked all the stages without me having collected anything, so I saved the game with all the stages unlocked without accessing any of them.

Tutorial

Open the emulator > config > memory cards > in the selection of memory cards click on “select” in slot 1 > select the memory card you have installed, click OK and run the game Lilo & Stitch (USA).

NOTE: Do not Load State, just load the game normally and go to the Load screen and load the 1st save.