Is it illegal to share a rom of something that never was released and never made any money?
It's abandoned software

Well I guess it could be illegal since the company is still in business.. And they probably owns the right to this. Or something like that, I'm not a lawyer..
Abandoned software (or the contraction somewhat commonly seen of abandonware) is not a legal term of art, defence or anything like that.
We have seen beta software released and used for driving sales (how many wiiware/vc/similar service things have we seen with games that never made it to a region back in the day finally there, or that star fox 2 beta for the snes mini?).
Equally you (or the company in the case of work for hire) still retains rights to things made even if not released to the wider world, depending upon what was done, published, registered and the like then timelines for copyright length (not that anybody reading this is likely to live to see the end of it) can get a bit fuzzy but copyright will still be there.
Company being in business or not matters little -- how many times have we seen auctions for various bits of IP or the like when a company goes pop? Many of those deals will see all IP not otherwise sold taken on by someone else, even if they weren't sold of (some indy games are likely this) then they probably still revert to someone (likely the owner/founder) as a personal asset like you might keep a works computer when you shutter a personal business.
Damages might be hard to calculate but it still happily falls under the umbrella of copyright infringement. Sharing for free might limit damages in some cases but it would still fall under unfair competition -- that you can play it today means it is less of a draw if Nintendo decided to include it as a hidden extra in the N64 mini.
Or if you prefer. You write a script for a film, show it around a bit. Does not get picked up and you go on to do other things. Someone 10 years later can't just grab your script from the pile of old ones and make the film leaving you high and dry.