This feature actually requires no extra SDL coding at all; it's all graphics and map design.
Has anyone done a mod where you started at one location, and the final level had you in another? Each level brought you closer to the location of your primary goal in the game.
The thing is, it's not just story text that's telling you where you are. The Parallaxed Skies are a guide, also. In the first level, you see your destination far off in the distance. But with each level you pass, the destination area becomes more and more visible in the Parallaxed Skies.
This would require a lot of work on graphics for the game, but I believe it's quite doable. The question is - has this already been done?