I've been given a PXP3 Slimstation. It's a mysterious undocumented portable games console, running 16bit Sega Genesis games. It has a mini USB connector on it.
It is unlikely that you will be able to get any information about the device via the USB port. Most likely, that would just provide access to either a memory card or read/write flash memory.
What you probably want to do is open up the device and look for any ROM of flash memory soldered directly to the board. You may have some luck with something like an 8 bit Saleae logic analyzer (assuming you could figure out the correct voltage the device runs on).