Haunted Casino (Japan)

Haunted Casino (ホーンテッドカジノ) was an adults-only game developed and published by Societa Daikanyama for the Sega Saturn on September 27, 1996.

This ad explains that the games in it will be end production on March 31, 1998 due to some sort of movement to improve the game industry by ending the production of x-rated games.  Mind you, these games had already been on the market for quite some time at this point, so ceasing production would seem a natural thing to do regardless.  And then they go on to announce their continued commitment to producing games for people over 18...

Regardless, Haunted Casino was indeed the final adults-only game to be released on the Saturn.