There's no warp directly to the last boss that I know of. 1-1 to 7-1 is the largest I know of, I'm happy to be proven wrong though.
Using a Pro Action Replay cheat, it's possible to select levels:
00C0 20XX
Where XX is the level number, 00-14 (hex remember) are the regular levels, 15-1C are the warp zones, and 1D-FF are messed up, probably referencing memory it shouldn't. (I didn't actually check above 1F though.)
Comparing the 8 warp zones (15-1C) with the 7 I know gives:
(1-1 Warp Zone) 15 - 7-1, 2-1
(1-2 Warp Zone) 16 - 6-1, 5-1
(1-3 Warp Zone) 17 - 5-1, 4-1
(2-2 Warp Zone) 18 - 3-1
(2-3 Warp Zone) 19 - 3-1, 4-1
(? Warp Zone) 1a - 1-1, 5-1
(4-3 Warp Zone) 1b - 5-1, 7-1, 6-1
(6-2 Warp Zone) 1c - 3-1, 7-1
The only warp zone I don't know how to get to is 1a, though I'm fairly positive I did it on the console years ago, and ended up warping backwards to level 1-1, which was quite annoying. Also, unless the pattern is pure coincidence, it's located between 3-1 and 4-2 (inclusive), and there's probably only the 1 missing. (Unless several warps lead to the same warp zone.)
So, unless there is a way to warp without using these zones, or I've missed a pipe thingy within the zones (I could only find the one pipe in the 2-2 warp), there is no warp to last boss.
There are some slight bugs as well, for example, cracking open a warp zone, with only half of it on screen, renders half the black hole on the other side of the screen. You can jump into either half, takes you to the same place. Also, you can get stuck between the left edge of the screen and a wall, and jump up repeatedly to get to the top of said wall. Neither of these are really useful though.
Anyway, good luck with the run.
Hi, long time lurker here, but that's beside the point.
First, thank you for reminding me of the existence of this game, I played it years ago as a kid, and completely forgot about it.
Second, there's a warp from 1-1 to 7-1, not sure if you are aware of it, here's a savestate with its location (half cracked sky), once in the warp zone, it's the one by the long ramp at the beginning, easily missed if you run too fast on it. (I just discovered this then, by accident, though I think I also discovered it on the console a while back, as it seems vaguely familiar.)
http://rapidshare.com/files/42866173/Psycho_Fox__UE_____.dgz.html
Keep up the good work!
EDIT:
In case you can't find the location, here's a quick movie. (Note that it's me playing live, no edits, so I suck and there's a lot of room for improvement, but it shows you where it is, etc)
http://rapidshare.com/files/42893276/Psycho_Fox_7-1_Warp.mmv.html