After some fiddling around I found the proper way to set up the controls as follows:

Jump with X
Shoot with square
Whip with circle
Change weapons with triangle

Go to Config controls and enter buttons as follows:

Button 1 to make Jim jump and deploy Snott: Square
Button 2 to whip with Jim's head: circle
Button 3 to fire current weapon/chute: triangle
Button 4 to switch weapons: X

Seems weird I know but this config will give you the in-game controls described above. Hope this helps!

Edit: This applies to Earthworm Jim 2