This is work in progress so any replies with video links are welcome.

How to pull it off?

1. Open up a red chest.
2. After the item get jingle, pause the game (timing it tight)
3. Go back to the title screen menu and hit continue.
4. You warp back to a previous checkpoint with the new item obtained.

Good examples:

Lion Talisman (up dash upgrade)- Use a checkpoint nearby the path leading down towards the treasure.

Ice Boots - Use the checkpoint found in the top left section right after guiding Pepelogoo through the firey obstacles (requires hover). The go to the far right, crossing over the fire skull dragons and then enter the bottom right section, following this path leads to the Ice boots, avoid any checkpoints if you can to make the checkpoint warp very effective after getting Ice Boots.

Hopefully, there's more to add onto here in the future.