Players turn was skipped, go back and allow that person to play out of order or continue on?
Your question basically boils down to "what are the rules for recovering from breaking the rules?"

Munchkin doesn't have such rules. But it does have the catch-all rule (from the rulebook) :


  Any other disputes should be settled by loud arguments, with the owner of the game having the last word. 


So fix the error however the owner of the game decides: rewind game state, snooze-n-lose, play on as you did, or whatever.