It's a glitch, when you press left+right the game goes down instead (due to the tables for left/right and up/down being adjacent), and when it doesn't find anything there it continues going down until it lands at the RAM address for the number of coins which it then uses as the level number. The reason that holding right or left before you press left+right causes a different warp is that it starts going in the direction that you began pressing at that frame, but then continues using all the buttons that are currently pressed to determine the direction when it doesn't find anything.
I've checked all possible level values, and there are none above 68 that put you in an usable location.
That's pretty slick, but what happens when you do the glitch when you have say 70 coins, or 80 coins? Does it just crash, go to some random location in memory or what? And if it does go to a location, is it always the same location, and are there differences between different non-level locations (like 70 vs. 80 for example)?
I know this isn't exactly on topic, but it just struck me as interesting when I read this.