I think the most likely reason for Sony abandoning the PlayStation is the failed deal with Nintendo in 1991. Maybe Ohga decides it just isn't worth it and washes his hands of the whole thing, much to Ken Kutaragi's chagrin.
Sega is most affected by the absence of Sony, given that Sony practically pushed them out of the console business.
The Saturn would be different since Sega wouldn't put the second VDP in the Saturn without the PlayStation scaring them. This might also mean that the Saturn is a completely 2D console. Its a mixed bag for Sega. A 2D Saturn would be a lot easier for 3rd parties to develop for, and a lot cheaper to produce. Sega also wouldn't be pressured into the surprise E3 release, which angered a lot of retailers. On the other hand they were still making a massive mistake with the 32x, and the N64 likely steamrolls the Saturn in 1996. If this results in a situation similar to the OTL Dreamcast, Sega's comeback could very well be successful without the PlayStation2 dominating the 6th console generation.
As was already said, 3DO and Atari are more likely to stick around, though I think 3DO has a better chance than Atari.
Without Sony, Microsoft wouldn't feel as much pressure to develop a console. It might actually be Valve that gives Microsoft a kick in the pants this time (a la GFWL). Speaking of Valve: they originally shopped around for another company to develop Steam for them (including Microsoft and Yahoo), but were turned down and so decided to do it themselves. Given how experimental Sega was, plus Sega's interest in the internet and personal computer market (see SegaSoft and HEAT.net), we might see Sega pick the offer up. IOTL, SegaSoft was shut down in 2000 due to Sega's dire financial straits. I have no idea what a Sega Steam would look like or how it would change PC gaming.
