From Sega Retro
Mega Drive version
Activate patch code 000698:1522 (NTSC-J/NTSC-U) or 000698:1546 (PAL), then select Password at the title screen. To use the sound test, press and to choose a Sound Bank, and to choose a Sound Code, or to play the selected sound, and to exit to the Sega logo.
Master System / Game Gear version
Level selectAs one of the Lemmings pulls the Sega logo onto the screen, press and to toggle to level to play, and to select it. Finally, choose 1 PLAYER at the main menu to go to the selected stage.