Also known as: FZ Senki Axis (JP)
An overhead/isometric mech shooter with no relation to the last stage of Sonic the Hedgehog.
Enter the Options screen and press A, Start, A, C. A sound should confirm this.
While you will still take damage at first, the game will not kill you - once you get down to one health bar, the game will stop taking away health.
Enter the Options screen and press C, C, Start, B. A sound should confirm this, and you should see a new MAP option listed which will let you choose the starting stage.