I guess if there were a sixth stage, it would've been called Final *something*, but then you'd have to explain how the characters escaped from the "Endless" Mine...
Anyway, the interesting bit I wanted to mention is that, going by the internal level order, Desert Palace actually comes before Chrome Gadget! This would indicate the two stages were swapped around to facilitate the naming convention, and if so, it's pretty surprising that they made it all work out without having to reorder any more levels.
One reasoning for the slightly esoteric nomenclature might be for the score card at the end of Grand Prix mode. Letters work just as well as numbers for identifying a small quantity of stages, and the added flair helps Competition stand out from the main game. Note how even the player characters are labelled "A Player" and "B Player", rather than the more traditional Player 1 and Player 2.
Very clever, i have to say
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