This level is called "Genesis". Zone Nu is the Level 5C of the game and it splits in Areas Y and Z.
Zone Nu is the Thiima Spacetime Continuum where a little prism can be seen during the stage. Then it is revealed to be The Embryon, the boss 5C of the stage.
See "The Embryon" article for more information
As The Embryon explodes to his death, both Silver Hawks are escaping from the blast, however they are destroyed due to the collapse of the Thiima Spacetime Continuum, Both Sameluck and Lutia are floating in the collapsing void, disintegrating as they get closer to each other, sharing their first and last kiss before they phase out of existence, then a solar eclipse caused by Darius can be seen and then the camera shows the oceans of Darius, submerging in the depths as the credits roll.