It is possible that there maybe consoles which are super small like the size of a Micro SD card if there is a way to plug it into a TV with a tiny thin cable, and power the console with a small power cable.
How small is a raspberry pi? They can be made into a full working console.
It is the size of a small stack of buisness cards, or playing cards if you include the thickness of the Ethernet and HDMI port.
There is a very small version of the Pi, but it is very slow.
Some people made the Raspberry pi into a console. But, most mini consoles are not popular except Nintendo mini consoles like the Snes mini.