Over at the official Prima Games website, Wing Commander 4 for the Playstation console has an easter egg code to pick your level. I'm not sure if this refers to skill level or mission, but I'll assume mission there. Here's the details.
At the Wing Commander copyright screen, press Up, Down, Down, Up, R2. This will give you access to a cheat screen and you will be able to pick your level. Press R1 or R2 to select a level.