So... rather than use the training mode set-up that has been used in EVERY SNK game since Kof 98, Terminal Reality made up their own training more... complete with crappy options and a life bar that stops at 1/4 to keep from killing the opponent... or so they planned it.
Well guess what I found for KOF 94 and 95: A way to kill your opponent in Training mode.
Basically, you need to pull off a move a move or combo that does a ton of damage when the opponent's life bar reaches 1/4.
The easiest way to do this is pick Billy in 95, go upto you opponent, and do a standing HP into his DM. The opponent will die, the life bar will fill right back up, and the fight will be called a Draw (?). You can go through the whole team and it goes right back to the character select screen. I even got it to happen when practicing a Ryo combo, and even with Rugal and Kyo.
Try it out and see how crappy the programmers at Terminal Reality are.