Why would any other shopkeeper want to kill you? There's no possible way they could have heard about your murderous rampage.
They are part of a guild of shopkeepers, and they just know.
If shopkeepers are currently in "shoot on sight" mode, every shop has a Wanted Poster with the Spelunker's face. Word gets around.
Why are the Damsels so grateful when you take them one level deeper into the cave? It just doesn't seem like a very helpful thing to do for a non-Spelunker in distress.
Perhaps there's some sort of Damsel-escape route in the little passage between levels. Like a fixed teleporter linked back to the title screen or something. Unless the Damsels just hit the suicide button and get warped back out or something.
Maybe they are using the shortcuts that Tunnel Man opens.
They're in a location with no traps and no monsters. It's safer than they were before.
How is the Tunnel Man even creating his shortcuts, since wouldn't his efforts be moot if the ruins' change interior every visit? This seems to be the case if the Spelunker blows up any blocks, but on the next trip, they are supposedly restored to normal.
It's possible that the entrances to different levels are in the same place but the rooms around it move
As well, whenever a room is loaded, there is generally one path to the exit. Why wouldn't the shortcuts work like that as well?
Maybe the shortcuts take you to the room right before the first level of a world, I.e. where you find the Tunnel Man. And since the door in that room is automatically linked to the entrance of the first level, it's all good. And the reason the shortcuts don't show up in those rooms is because there's a door with the texture of the background walls.