This can also be solved using a boolean. 
For Each rngCol In rngAll.Columns
    doCol = False '<==== Resets to False at top of each column
    For Each cell In Selection
        If cell.row = 1 Then
            If thisColumnShouldBeProcessed Then doCol = True
        End If
        If doCol Then
            'Do what you want to do to each cell in this column
        End If
    Next cell
Next rngCol
For example, here is the full example that:
(1) Identifies range of used cells on worksheet
(2) Loops through each column
(3) IF column title is an accepted title, Loops through all cells in the column
Sub HowToSkipForLoopIfConditionNotMet()
    Dim rngCol, rngAll, cell As Range, cnt As Long, doCol, cellValType As Boolean
    Set rngAll = Range("A1").CurrentRegion
    'MsgBox R.Address(0, 0), , "All data"
    cnt = 0
    For Each rngCol In rngAll.Columns
        rngCol.Select
        doCol = False
        For Each cell In Selection
            If cell.row = 1 Then
                If cell.Value = "AnAllowedColumnTitle" Then doCol = True
            End If
            If doCol Then '<============== THIS LINE ==========
                cnt = cnt + 1
                Debug.Print ("[" & cell.Value & "]" & " / " & cell.Address & " / " & cell.Column & " / " & cell.row)
                If cnt > 5 Then End '<=== NOT NEEDED. Just prevents too much demo output.
            End If
        Next cell
    Next rngCol
End Sub
Note: If you didn't immediately catch it, the line If docol Then is your inverted CONTINUE. That is, if doCol remains False, the script CONTINUES to the next cell and doesn't do anything.
Certainly not as fast/efficient as a proper continue or next for statement, but the end result is as close as I've been able to get.