It seems the game makes a copy of sections of the ROM and puts it into some extended RAM to execute, at least that's my best guess.
Therefore, every single one of the following codes must be enabled before selecting the game file after the Title Screen.
Legend of Zelda, The (USA) (Rev A) [NES]
Infinite Rupee SZVXASVK Can Use Candle Ability Over And Over Per Zone AESZSOET Infinite Health OZEULKPX NYEUGKYE SAEUIGEN YTEUTKZE TAEUYKVG XTOLAKYV XTOLPGTE Note: This code makes you have full 16 hearts upon taking two hits. Infinite Health SXVUZUSE Invulnerability EYULLLEI Note: The flames from the blue candle ability can harm you. Invulnerable To Flames ENSNKAEI Note: This is to be able to walk through the flames from the blue candle ability. Less Enemy Projectiles SXOLZOVV Collect Items From Anywhere AEKZKLLT AESZELYI