As it uses the Doom 3 engine, there are ways to go to a specific level via the console.
Although I never tried it with Prey specifically, just other Doom3 games..
There should be a maps folder either in the game folder or a compressed file. Find the name for which ever map (level) you want adn enter into console "map /X" - X being whe mapname. You shouldn't have to enter the file extension, and you will likely have to input the path if it's more than one folder deep, like "map /maps/mapname".
As i said it DOES work with other Doom3 based games like Doom3, Riddick, etc..
Oh and you may many games don't give you extra weapons when the level loads so you may have to use weapon cheats or a trainer.
Man, thanks so much for responding! I really appreciate it.
So the map files, as you suspected, are compressed into a Pack000.pk4 file. I couldn't get the console to recognize the Pack000.pk4 location, so I unpacked the file, but it still wouldn't recognize it. I think it automatically looks in a "maps" folder which is either in the "base" folder or the base directory. I made a new "maps" folder in both and it recognized it and loaded up my game.
So far so good. But I immediately ran into a strange problem. PREY features these anti-gravity walkways which you have to activate, and then you can walk up the walls, ceiling, etc. Well, when I load my unpacked map, I can no longer walk on the anti-gravity walkway! It just won't let me use the walkway, which means I can't progress through the level ... I wonder if maybe I need to unpack more files .... ?