nope, they dont. however, on the pads you just substitute the B, A for X, O and it works just fine. i forget what it does though. this is also the way it works on PS2.
in Gradius III (Super NES), the correct code for extra lives is Up Up Down Down L R L R B A Start. The L and R buttons were new, you see. If you put in the regular code, your ship self-destructed. I am so fucking L337.
evidently, if you input the konami code on the title screen of one of the MGS games (the first one, i think), you can see a high-res video clip of snake and psycho mantis running a train on a bound and gagged meryl. either that, or there's just a clip of snake yelling. i forget which.