In the last level you play you are given a lot of extra health and ammo as a bonus. For this reason, I recommend to play the Return To Peru level as soon as possible (by buying the secret map for $2500) so that Aetherium will the last level you play. You'll need these bonus items in Aetherium, while they are wasted in Peru as I think.
However, to overcome your health problem the only chance I see is using the
cheat (hit F10, type the line above and hit the ENTER key). This will make you invulnerable.
Hope this helps, good luck!