Actually, I think it doesn't exist because it wouldn't work...and wouldn't be fun.
Think about it...Sonic and Mario Platform game.
First, Mario games are not built around speed, but exploring and jumping more. The 2D games could be argued for speed, but the 3D games are even more focused on vertical and jump exploring. Sonic, is focused on speed, and although exploration is still apart of the game...it really hinders the speed aspect...it is either one or the other.
Plus, Sega's designs on Sonic have always been questionable. Levels often have gotcha hidden traps that you can't do anything about. I think Nintendo would look at the overall design of Sonic and think it is rather poor.
Now, take a Sega franchise to mix into Smash? What characters really fit? Maybe one from Virtual Fighter, Maybe 3-4 from Sonic, Jet Set Radio...OK cool, then what? Yeah...nothing really stands out...Wonder boy? Alex Kid? Shinobi...Ok Shinobi would be cool, add him in.
Some dream games sound great on paper, but would never work. The only way I would do Sonic and Mario together is maybe a Mario RPG game...and that is it.