In case you were also wondering:

This newly uncovered button command allows players to exit any stage and return to the game’s map screen, even if they haven’t completed the level yet.

The Cheat Code:

To activate this cheat, players need to pause the game and press the following sequence:

Right + Y
Left + A
Up + B
Down + X

Just tested it. It works.

It's amazing that this went undocumented for so long!

Is known how do they found it? There is no info about it in the X thread.