There are no Last Bronx characters in Fighters Megamix. It has all of Virtua Fighter 2’s characters, though.
Furthermore, Sonic and Tails are not in the Saturn version of Fighting Vipers — unless they’re hidden in the code like they are in the arcade game and just haven’t been found yet.
Characters in Fighting Vipers that aren’t in Fighters Megamix, aside from Pepsiman, include the schoolgirl and Hawaiian variants of Honey, which the game does consider to be separate characters from regular Honey. The FV version of Mahler is different from the FM version of Mahler, too, although to be fair, the FM version is more unique to give B.M. his own identity.
It definitely would be nice to get Pepsiman, Schoolgirl Honey and Hawaiian Honey into Fighters Megamix. I can’t imagine it would be simple to find their associated graphics, animation data and command lists in FV’s code, though, let alone insert it into FM and somehow hook them into the rest of the game.
And I imagine it would be nigh impossible to bring over Last Bronx characters because that game was made by a completely different team than Virtua Fighter, Fighting Vipers and Fighters Megamix.