Alien Breed

This can be done on any level and the Alien Breed Special Edition even has two levels which don't have any doors i.e Level 9 - Linkage Shaft and Level 11 - Location Unknown. However this can easily be done on the game's first level Alien Breed Level 1 - Shuttle Bay. From your starting position all you need to do is run in a straight line to the left to get to the exit. You'll need to pass through two doors almost immediately, which can be opened by shooting them with any gun whose ammo doesn't bounce off the walls.