I'm pretty sure you need a game genie to play as Shiva on Stage 1. The closest trick I can give you is a glitch/trick I found a while back that lets you unlock Shiva for Stage 2 without having to play through all of Stage 1. I'm pasting this from the Answers section:
"...Unlock Shiva with the Stage Select code:
1) Start playing a single-player game, and get a Game Over (use Hard mode and 1 life to do this quickly). You can play for any amount of time, and on any difficulty/stage, just get a Game Over. 2) Without resetting or turning off the game, you will return to the main menu. Use the Stage Select code, and choose Stage 2. 3) After starting the game from stage 2, Shiva will be selectable when you continue or a player joins (without having to play stage 1)!"