A quick inspection of Google Images, Paheal.net or 4chan's yaoi board confirms that Super Mario does indeed have a penis, but Kill Screen Daily's Clayton Purdom finds reasons to doubt these images' credibility and hopes to find relief from the semiotic crisis of believing that Mario both does and does not have a penis.
Just as The Sopranos ended with a metaphor for uncertainty, and so maintained the possibility of both Tony Soprano’s death and a life spent in fear, so must the question of Mario’s penis remain uncertain. Those pornographers that frame his penis so questionably are getting at the essence of the matter in a way Super Hornio Bros., giggling all the way, never will: the penis must remain a question to be answered only by the viewer, or the player. If the very purpose of a Mario game is a symbiosis with its star; if he is the synecdoche of the player, his movements laser-guided to be what that player wants them to be; if his fundamental goodness is intended as a belief in the goodness and courage within all people—then the existence of his penis only matters insomuch as it does to the body of the player.
In all seriousness, I think it's clear Mario would have a penis, (i.e. an embodied sexuality) in canonical Nintendospace, the abstract world in which Mario exists, but that it would not exist in Nintendoanschauung, the view of that creation to which Nintendo consents.
