Expert Mode is the most difficult mode in the Earthworm levels, and losing one level will set you back to the previous level.
To play any level pack in Expert mode, you will need to first finish that level pack in an easier mode. Then you can change the difficulty to Expert.
For example, Captain Slug has 20 levels packs. You'll need to play each, 1-20, in an easier mode, and then you can replay the level pack in Expert mode.
If a level pack has not been played at all before, it cannot be played in Expert mode.