Meet the microByte: an open source handheld gaming device that lets you play classic games from NES, GameBoy, GameBoy Color, Game Gear, and Sega Master System platforms. It is Arduino IDE compatible, so you can run custom sketches on it.
The microByte has an ESP32 Wrover E processor with WiFi & Bluetooth, a 1.3″ diagonal display, 13 on-board buttons, and an on-board speaker. It also has a MicroSD card slot. It measures only 7.8 x 4 x 1.7 cm.