What happens when you lose everything. All the lives gone, no more continues... Well, it used to be "insert another coin" back in the 80's, and more recently, it was "game over, load?" There's no real game over in Goblin and Coins 2... Instead, when you lose all lives and all continues... you end up in the Underground. It's a cold place void of life.
And yet, it's possible to leave it by collecting golden leaves to form a Golden branch and find your path to the world of the living, and add 10 continues to your save. But, it won't be easy at all... maybe you'd rather start a new game instead?