Space Harrier is an entirely linear game. You must proceed from the first stage to the last by reaching and defeating the boss of each stage in a fixed order. There is no way to warp ahead or skip stages.
Each stage of Space Harrier is "on rails" and proceeds in a predetermined fashion. While you have the ability to weave left and right in order to dodge terrain, it is impossible to alter the order with which you encounter the various enemies in the stage.
You start off your adventure to save Dragonland in Stage 1: MOOT.