Expert Mode:
Change settings to Practice and Free Play. Play through normally and keep continuing if you die (you will die) then when you are on the last level have a second controller turned on and ready. When your main fighter dies 2x bring in another fighter using the 2nd controller. This will make it so you don't start at the beging of the last level.
You can alternate fighters/controllers or just do what I did and use the 2nd controller as the dummy controller to help keep you going and the main 1st player the fighter you want to use and keep selecting them.
Tip: Use the Slave ships (A + B when selecting) they have stronger fire rates and smaller hit boxes. When playing in Raiden Fighter J use the Fairy (Highlight the Pig and press A + B) as the bomb attack makes the Fairy invincible