The Shenmue series has never been strict in regards to its timeline, but Shenmue III has thrown out any adherence to the real world timeline by hiding a Sega Saturn in '80s China, even though the console didn't exist until the '90s.
The first Shenmue game is set in 1986 Japan, which meant that the developers had some fun with the in-game arcade. Ryo Hazuki could visit his local arcade and play Sega games from the era, such as Space Harrier, while waiting for different events within the game world to transpire.
It seems that the Sega of the Shenmue universe managed to crank out the consoles a lot quicker than in the real world timeline, as the company invented the Sega Saturn seven years early. Players can find the console in the Man Yuan Temple during the story mission in which they have to search the sealed-off room for clues.
The Sega Saturn is hidden in the drawers of one of the cabinets in the room. It's possible to miss the console, as Ryo needs to find a photo in order to proceed with the story and if he finds it, then he cannot return to the room later. Ryo (and the player) cannot play the Sega Saturn and it only exists as a fun Easter egg for retro Sega fans.
The inclusion of the Sega Saturn may be a reference to Shenmue's development history, as the series was initially planned for the system. The development of Shenmue moved to the Dreamcast in 1997, where it would eventually be released two years later. The Shenmue series rarely takes itself too seriously in regards to continuity or timeline, as it's possible for Ryo to win capsule toys of himself in the machines spread around the Shenmue 3 world, but he never questions it (nor the mysterious Sega system hidden in a Chinese temple) because he's still as dumb as he was in the original Shenmue.
Shenmue III will be released for PC and PlayStation 4 on November 19, 2019.