To get access to the Pleasure Dome you have to caught all the generals after you kill the general in his flying ship. If you caught all of clones and him you will be award access to Pleasure Dome, if you don't they will deny you access and just roll the credits.
MK3 Ultimate Kombat Kode
After you beat Shao Khan you will come to the UKK screen. At the UKK Code Screen press the following:
Controller 1: Square x1, R1 x9, Triangle x2
Controller 2: Square x2, X x2, R1 x2, O x3, Triangle x4
Shao Khan will say excellent. The screen will start flashing through all the stages. Now you will be at the Portal Stage with Smoke in the middle. A message will say, "From now on, I will be at your disposal." Look at the character select screen, and you shall see Smoke in the middle of the screen. Smoke is not savable to your memory card!