Surely it's possible - even automatic. If the Zelda games got a battery RAM for saving then an advanced user can compare the savegames and on a specific value (experience level, item....) a script can be executed to rename Zelda 2.nes.bak > Zelda 2.nes
On next boot the next Zelda game is displayed via automated script. But hell... speak with your son and tell him it's time to play the second part :)
Really a nice idea but very hard to realise. Impossible? No!
Why? It's a hard job to detect the values needed. We are not talking about simple XML-file editing. You need some cracker skills. Simpelst way it to compare 2 files with different experience status (in Zelda for ex.) and then change the values manuelly. Perhaps this works.... If Nintendo is a badass then there are checksums and voila - you need real cracker skills ;)