Yes, there IS a hidden GP in the game. To do it, you must get 1st place 5 times consecutively in the Blue GP. If you do this correctly, after winning the Death Egg course, the victory screen showing your character and the number of emeralds (1st places), there should be words below that say "Go Final". After this screen is the Final GP!
What is the Final GP? It's a race on the Death Egg consisting of you and your "arch-rival". If you are Sonic, Tails, Knuckles, or Amy, you will race against Robotnik. If you are Robotnik, Mecha-Sonic or Fang, you will race against Sonic.
Besides being one-round, the Final GP only consists of two drivers: yourself and either Sonic or Robotnik! Basically, you've engaged in a stimulation of a 2-player game in which your opponent is controlled by the CPU. If you win this you will see the credits.
To get more control of your race car, while you have the gas petal down
(button 2), If you hold down the brake button (button 1), you will have a
lot more control over your race car. This is especially useful in races
with walls like Quake Cave, or races with a bottomless pit on each side
like The Milky Way.
