BradyGames might have had access to the game code, written down the world names based on the sprites, and didn't bother to remove the "Pinocchio" bit once they finished the game. That's a long shot, though.
They wouldnt use a Cheat Code because first Its a Official Game Guide(meaning its not for Cheat Codes) and Second SE already took out Pinocchio's world.... if you havnt read the quote or interview...