The SNES supports SlowROM and FastROM but, interestingly, its internal memory is "SlowRAM". This seems like it would significantly bottleneck the system's performance. I guess "FastRAM" was just too expensive.
Another World uses SlowROM, so almost everything in the system is slow. It's a clever trick to use the DMA registers as a tiny amount of "FastRAM" and run code from there.
Something similar has been done on the Game Boy Advance - it's faster to run code out of Video RAM than directly from ROM or (the majority of) normal RAM.