Actually she's Roll, megaman robot "sister"

No, it's not a fan creation… i'm guessing it implies that she didn't know and she's excited for someone close to her being in the game.

Wow, such arrogance. The "blob thing" is Arakune from Blaz Blue, who's background appearances have been a running joke in this series and "that other thing" is Glacius from Killer instinct. They're there as a nod to Sony and Microsoft's E3 conferences.

Do your research.