@reayer: Do you live in Poland because it will make it easier to know the type of game it could be. Was the game in English or another language?
Next step is to understand more about the Pegasus. So it could run Famicom and NES games. Most bundles of the consoles came with a cartridge called "Contra 168-in-1" which I recommend you look through. Unless you can remember the game being on it's own cartridge.
Also because of the year it might have been the Power Pegasus 16-bit which ran Sega Genesis games.
So can you remember if the game looked 8bit or 16bit?
If it's not a Pegasus and is just a random "plug-it-into-the-TV-console" with games built in, then it will be a bugger to find the game.