That's actually a really good idea. The only problem would be that it could reference the wrong loop (for example, if I want to exit from within a loop).
Or wait, how would it work exactly? If continue is used in a function where there aren't even loops, would PHP just reversely traverse the code tree until it finds a loop, and then force the next iteration?
edit: http://www.php.net/continue for reference doesn't mention anything other than the freaky fact it supports an argument. I wish PHP was as clean as Java but as easy as it is now...