In all my trials through the game, I've been able to keep a constantly increasing life count. To be fair, though, the first time, I skipped part of World 6 and all of World 7. The second set hasn't finished and is stopped in World 5, but has a buddy that tries to kill me more often than not. The third, though, I'm midway through World 7, and I've kept about 99 lives since somewhere in World 3. I've also made sure that I get all the Star coins and any exits I know of, this time, as well.
I'd say through this, that there are a few too many opportunities in Single Player to keep your life count constantly increasing, but when you add in more players, it's much more difficult, while completing stages is a bit easier, since, if you don't all die at once, you can keep continuing.