Hah! I was looking for the same game a while ago:
http://www.abandonia.com/vbullet/showthread.php?t=23374
Although nobody knew the name, it's 100% we mean the same game.
From what I remember, the game's name starts with an "A..."
yup, you always had to leave the level through the top entrance. There was a number of goodies to pick up that increased with becoming more difficult, before the exit would open. I had played this on my 386 a lot.