In story mode there was no option to continue. Just a start new game option. I didnt use all my continues. Very odd and annoying to have to start all over again. I tried arcade mode that wouldn't have erased my story progress would it have? There was no warning.
Go to chapter select. The continue only appears if you quit in the middle of a stage (when you actually do continue it starts you at the beginning of that stage). --- This message was made with recycled electrons.