Find the exit in GBA Doom II level 15, Industrial Zone: A:

Once you get the red key, remember which building you found
it in, then go outside.
Just to the southeast of the building where you got the red
key, you should see a tall elevator/lift at the corner of
another building.
Activate the switch next to the lift to make it drop down,
then ride it up.  At the top, open the door and follow the
corridor all the way to the end, where you'll find a
teleporter booth in a small niche on your left.
Step on the teleporter and you'll be beamed to the large
building at the south end of the map.  You'll be on a high,
split-level walkway that runs around the outer edge of this
building.
Follow your way counter-clockwise around this walkway (and
up one elevator) until you come to an opening on your left
that leads down into a room in the center of this building.
Pick up the weapon you'll find here, then destroy the
monsters that spring out to ambush you.
Once the room is empty, step east into the tiny cul-de-sac,
and another wall opens up to the east, revealing the exit
teleporter.
Step onto the teleporter to exit the level, or, look for a
switch that rose out of the floor behind you, and Activate
it to deploy some stairs that will let you leave this room.