I would guess there would have definitely been one based on Angel Island and Lava Reef (because the previous two episodes didn't go near the volcano theme). We're assuming of course that there would have only been another four zones, in which case my other guesses would have been Sky Sanctuary and... maybe Chemical Plant? With blue sphere special stages of course.

So...

1 • Sunset Jungle Zone (Angel Island)

2 • Chemical Factory Zone (Chemical Plant)

3 • Magma Palace Zone (Lava Reef)

4 • Cloud Kingdom Zone (Sky Sanctuary—I think this name already exists but believe Episode III would have pre-dated it)

5 • Death Egg Mk III Zone

I really wish this had been made. I like Sonic 4 anyway, and even though I disapprove of the episodic release structure, I'd like to have seen what they would have done with Knuckles's gameplay.