Was There Ever a Mario Game on a Sega Console? No.

No. Mario is Nintendo's flagship IP. Nintendo and Sega were direct console rivals (NES vs. Master System, SNES vs. Genesis, N64 vs. Saturn, GameCube vs. Dreamcast). No mainline or spin-off Mario game was officially released on Sega hardware.

Closest Historical Crossovers

• Mario & Sonic at the Olympic Games (2007–present): First official Mario/Sonic crossover. On Wii/DS (Nintendo), then later on Switch/PS4/Xbox/PC. Not on Sega hardware.
• Sega Characters in Nintendo Games: Sonic in Super Smash Bros. Brawl/4/Ultimate, Bayonetta in Smash, Persona 5 Joker (Atlus/Sega) in Smash.
• Nintendo Games on Sega Hardware (Licensed, Non-Mario): Donkey Kong (arcade, 1981) licensed to Sega for SG-1000/ColecoVision; F-Zero AX (Triforce arcade, Sega/Namco/Nintendo).
• Sega Games on Nintendo Hardware: Many (Sonic Advance series, Phantasy Star, Yakuza, etc.).

Mario remains Nintendo-exclusive.