There was a widespread rumor in China about some supposed underwater levels of Contra. It has a large impact on retro gaming in China, and is often be compared with the Minus World of Super Mario Bros.
One of the most widespread version of the rumor is that the player have to jump onto a glitched enemy in Stage 6 of the Japanese version and crash the game, after that the game will load some glitched underwater-like level instead. This has since be proven false by the community, as the player simply lost a live when jumping on it.
Another version is that some early pirate copies of Contra tend to load a glitched Stage 8 when dying in Stage 7. This has yet to be proved.
The extra levels of the MSX2 version were also thought to be those rumored levels, however there's currently a debate on whether it could be the source of the rumor.
To learn more about the rumor, check out the Baidu Baike article since it's relatively obscure outside China. Also check out the video coverages on the topic by Hawkao (they're all in Chinese).