I played it without ever using save states (except for saving in the sense of like, not having to use a password to get back into the game), and I can confirm, I wanted to kill myself.
I recall trying to beat the version inside Zero Mission (you unlock the original NES game after beating it) when I was a kid. No save states. Just those... passwords. I think I gave up around Kraid. The amount of bullshit I was experiencing was driving me mad. Playing the NES version only made me appreciate Zero Mission more xD