Lives are just an outdated game design choice that the Mario series took a long time to drop. If you are looking to give the Mario series another try, I'd recommend Super Mario World. The saving system is the same as the one you mentioned, but chances are you will have save states available.
It's pretty nice. Took a couple of hours to 100% percent because I'm bad lol. My only complaint would be that in order to beat some of SAM's Highscores you need a boss enemy to spawn, which is apparently pure RNG, but other than that it is pretty neat.
Every time I play a game that is actually trying to be hard and see people complaining about difficulty makes me think I'm either really patient or just better at videogames than what I think I am. Either way, nice little game, took me 20 minutes.