Sonic Mega Collection

Debug mode is only accessible in Sonic 2 & Knuckles and Sonic 3 & Knuckles. There is no debug mode in Sonic & Knuckles alone.

There is none for this game, sorry.

There is no actual debug mode in S&K, But there is a glitch that uses debug mode for S3&K to access it in S&K.
The best way i've found to do this is to go into Ice Cap act 1 in debug mode, go somewhere quiet in the level (by that, i mean a small platform near the beginning of the level after you get off the snowboard, i don't think there are any badniks around the area) place a whole bunch of item boxes around the area, to where they max out your on screen sprites (make sure they are all in close proximity of each other) and break a lot of them open, you should more than max out your ring counter, and i do believe sonic should wind up freezing. hit the pause button and the game will reset itself. When it starts back up, you should be in S&K, from there, you activate debug just as you would in S3&K (i dont remember how to get into the stage select though)
This trick should also work with the actual carts on the genesis, its a really weird memory glitch

also, I cannot say 100% for sure that the instructions work how i put them out, as its been a while since i toyed with it. I will try this out, and if its different from what i stated, I will give another answer within 24 hours of this answer (i hope)