Just an idea...
Looking at all the Mods I notice they are either based after the good or best endings (or not Cave Story story involved.) I think what could be an interesting Mod would be one branching from the bad ending, the one where you escape with Kazuma. It could happen like this:
Deep in the mountains, many years after the incident on the island and the Doctor’s Mimiga’s attack on the surface you and Kazuma are living out your lives in protection and secrecy from the rest of the world. The doctor rules the world, and you live on without a care. One day, as you are out for the day exploring a nearby ridge you notice something floating over the next hill. As you focused your eyesight the figure became clear. It was Misery.
“Now where is that robot? The doctor said he'd be around here somewhere...” Startled, you run back to the cave you had made your home. Kazuma is sitting by the fire. You explain what you saw to him.
“Impossible! There’s no way they could find us! How-“
Suddenly a lightning bolt strikes at the entrance of the cave revealing Misery. You grab your trusty Polar Star to try and fend her off…
I may end up doing this if I ever take the time to learn how to Mod, but I wouldn't count on it. What do you think?