In the original for the NES, "infinite" lives aren't a menu option but an exploit built into the game's mechanics. The most famous method is the World 3-1 Turtle Trick , though you can also use Game Genie codes if you have the hardware or an emulator. The World 3-1 Turtle Trick (Turtle Tipping)
: Let the first Koopa pass. Jump on the second Koopa so its shell stops on the edge of a step. Super Mario Bros Cheats Nes Infinite Lives
: You can get here quickly by using the Warp Zone at the end of World 1-2. In the original for the NES, "infinite" lives