 In level 20 ("Stone Rain"), the last level of the game, just as you  enter the grated area towards Zillas lair, you can see a nuclear  missile under the grates. Push on the wall the the left side and it  will open up and you can reach the nuclear missile. You can also run  to the right and it will lead into a huge area under the volcano  that has lots of items and the dead Teenage Mutant Ninja Turtles.