From Sega Retro
Sega had admitted how expensive and problematic the 32X was, and so decided to make a combined version of the Mega Drive/Genesis and 32X, which they felt was a better idea. However, by the time a prototype came out, the Sega Saturn was ready for release. Sega felt that gamers would now not be interested in the Sega Neptune, if it had been released, so the project was scrapped. Plans for the system supposedly included the ability to play Sega Mega CD titles too.
Had the Neptune been released, it would have been available for less than $200 in the United States, and £200 in the United Kingdom.
In 2001, gaming magazine EGM announced that prototype copies of the Neptune had been found at a warehouse and were up for sale to the public (via the now defunct Seganeptune.com website). This was an April Fool's joke, but generated a lot of buzz amongst the Sega community.