(This works for the JP version)
First execute the Secret Mode code (also known as the 99 lives code) then eturn to the title screen and repeatedly press the corrisponding buttons until the Sega screen appears and you'll get a different voice calling "Sega!". L+X for Leda , L+Y for Astal , L+Z for Geist , R+X for Antowas , R+Y for a second Antowas and R+Z for Gerardo.
Please do the following: