Fair point, the level archive have no awareness of custom styles and would not be able to render in anything other than the standard PC graphics, even though a style was created for PC Lemmings to use the Megadrive's color palette.
Instead try this: thanks to archive.org (aka Wayback Machine),
http://www.deveria.com/alexis/lemmings's contents are still available despite the site no longer live anymore. You can get screenshots for individual levels through a URL like below:
https://web.archive.org/web/20121124064532im_/http://www.deveria.com/alexis/lemmings/lemmings/gen/fun01.pngReplace "fun01" accordingly to get to other levels: use "tri" for Tricky, "tax" for Taxing, "may" for Mayhem, "pres" for Present, and "sun" for Sunsoft.
Note: for levels that are repeats of earlier levels, the site typically reuses the screenshot from the earlier level. So for example, there is no "sun01.png" because "pres19.png" already covered that.
(For convenience, here's the webpage containing the entire level list for Megadrive:
https://web.archive.org/web/20121124064532/http://www.deveria.com/alexis/lemmings/lemmings/gen/gencodes.html )
Note also that because they are screenshots, the entrance, exit, water/liquid, traps, etc. objects are also included, which may not be what you want.