I was looking though the 'LEGO Island 2.exe' with a hex editor today, searching for embedded text strings, when I stumbled upon a section of the .exe from 5703360 to 5718543 that controls all the in-game menus. After poking around in this section for a while, I found a sub-menu labeled "Debug" that wasn't linked with any other existing menu. So I tried replacing an existing menu slot in the main menu with this "Debug" sub-menu, and lo and behold, it turned out to be a sub-menu that lets you load ANY level in the game.
I've created an IPS patch that replaces the "New Game" option under the "Start" menu with this new "Select Level" sub-menu. Clicking this should give you a list where you can select what level to load. (The menu is kind of buggy, it will resize itself based on the width of the currently visible levels, so I find it a lot easier to scroll though and select levels using the arrow keys and enter, rather than the mouse).
Here's a link to the patch: http://www.mediafire..._Any_Level).zip
And here's a link to download Lunar IPS, which you'll need to apply the patch: http://fusoya.eludev...ility.org/lips/
EDIT: If the Lunar IPS patch won't work for some reason, I've created my own utility that will patch the exe all by itself.
Here's the link: http://www.mediafire.com/file/4m3f5kcyxg3o91d/LI2_SelectLvl_Patch_v1.0.zip
Just extract the 'LI2 SelectLvl Patch v1.0.exe' file into the same directory as your 'LEGO Island 2.exe' file and double click the patch exe to apply it. (this method does not require any ips patch file)