I'm replaying old SNES games and right now the Boss of DK Contry 2 (King K. Rool) gets the best of me. I always die just shortly before the end and have to replay the whole thing all over again. I have 90+ lives, so that's not an issue, I'm just tired of repeating the same thing over and over (I know, it's pathetic).
The answer is shortly "No."
Appart from the save features that are present in the games themselves, the Wii's Virtual Console does not offer any savegame features.
The closest thing that it has is Suspended Play, that is available for most Virtual Console games (I belive Nintendo 64 and Neo Geo games are exluded). If you open the Home menu while in game, your gamestate will be saved and you can safely exit the game and resume where you left off when you start the game next time.
However, this feature prevents, by design, the kind of functionality that you are looking for.
Once you restart the game, the suspension data is deleted automaticly. What's more, it cannot be copied for safekeeping using Wii's operating system. That is, you can not copy it to your SD card and the copy it back after you loose to the boss.
I belive it would be theoreticly possible to use this state data to resume from certain point in game, but doing so would require rather drastic measures and I wouldn't recommend even trying them for something like this.
I've heard that the boss can be a tough nut to crack, but I'm afraid that you'll just have to endure it and keep practicing. You'll get it eventually.