If you turned the system on without a game in and you held up, 1 and 2 all simultaneously, there was a secret game built in to the system. When my friend got his SMS he did that on accident the first time he turned it on, leading to much confusion.
Parent and grandparent and GGP are all correct. The snail game is built into all(?) of the system revisions and accessed as such, later systems had other "pack-in" games burnt into ROM. I bought my SMS 22 years ago, so I'm not 100% sure but I think mine came with a cartridge of Hang-On/Safari Hunt, rather than being built into the machine.
Can confirm. Here in EU I have seen both the Alex Kidd model and the Sonic 1 model (the later succeeded the former as Sonic became way more popular than Alex Kidd ever was. Makes sense to me).
I have never seen one packed with Hang-On myself, but I recall seeing it was a thing in a magazine (although, over time, this magazine turned to be pretty unreliable, but I'm pretty sure a Master System bundle with a Sega arcade port and a gun game were a thing in this region)
https://en.wikipedia.org/wiki/Snail_Maze