Space Harrier originally mentioned that it took place in the Fantasy Zone just as the game of the same name, (remember the "Welcome to the Fantasy Zone! Get Ready!" intro?) and many have claimed that the games take place in the same universe considering the similarity in graphic design. While SEGA never made any official statement they did try to capitalize on the similarities with Space Fantasy Zone. An unreleased Fantasy Zone sequel for the PC Engine CD was developed that used the pseudo 3D gameplay of the Space Harrier series but used Opa-Opa and his gang of cute characters and levels.
It is unsure why the game never got released, but several beta copies have been leaked and you can easily find them around the net and run them with an emulator.
First Sega game to come out that used "Super Scaler" technology.