SNK vs Capcom: Match of the Millennium (NEOP0069) displays various small tableaus involving Capcom and SNK characters discussing the fact that the game can't be played on a B&W system.
Delta Warp (NEOP0103) pretends to boot up to a A:\> prompt like a DOS machine and "boot" DELTAWARP.EXE (but fails, of course).
King of Fighters: Battle de Paradise (NEOP0092) has a special mini-game that is only playable on a B&W Neo Geo Pocket. The game is called Yo-Sa-Ku and was SNK's first game, originally released in Japanese arcades in 1979 and distributed by Sega. Battle de Paradise is otherwise not playable on a B&W system.
Cool Boarder Pocket (NEOP0075) has a normal "The soft is only for Neo Geo Pocket Color" screen, but pressing the Option button allows you to cycle through all the game's music tracks, so it functions as sort of a sound test.
Evolution: Eternal Dungeons (NEOP0082/0099) initially presents a screen saying, "For use by Neo Geo Pocket Color Only," but you can just press the A button to bypass that screen and start a game.