@dubcity - have you tried that on Metal Slug 6? You do realize that the TEST MENU is a different thing from the in-game DEBUG MENU right?
TEST MENU = input tests, coin assignments, language, etc
DEBUG MENU = in game changes for programmers to debug the game; hit collision; cheats, auto-fire; etc
According to the web, here's what you have to do to get the Debug menu in game:
On the title screen, insert a credit. Hammer the System, Player 1 Start and Player 2 A buttons repeatedly.
This is rather finicky and there's no indication you've succeeded until you reach gameplay. I found good success by assigning Service and P2 A to one key, and then assigning that key and Player 1 Start to buttons on a gamepad using Xpadder and applying the turbo function.
Make your way to the first mission, and press the D & E buttons simultaneously (on P1 or P2's controls).
Unfortunately, I am unable to get it to work as much as I try...