Well what do you know, a physical copy of Mega Man Anniversary Collection, the unfortunate GBA compilation, might have at one point existed. An old Gamepro magazine preview for the game makes note of a special "preview build" for the title used for, well, previewing purposes. Check out the scan courtesy of The Great Gonzo:
It's not too uncommon for such preview builds to leak out onto the net. With that in mind, god willing, somebody will discover this puppy and dump it, ensuring a period of much rejoicing. Wishful thinking, I know...
On a related note, I wonder what Capcom had in store for that "hidden bonus game." Would have been really cool if it turned out to be Battle & Fighters, the Neo Geo Pocket port of the two arcade titles the Power Battles and the Power Fighters. Now that would be a delightful little treat.