Messing with others' IP is always risky, especially when the owner of said IP is known to be particularly aggressive at protecting that IP. If someone really wants to make an adult Mario fangame, here's two of their best options:
1 - Develop the game in secret then release a finished product into the wild for free via Torrent under a pseudonym hidden behind a VPN among other anonymizing strategies. It has to spring up out of nowhere and not be traceable to anyone, which isn't really easy to do. Other drawbacks are that this rules out any crowdfunding. You can't hype up or market the game prior to release. Basically it has to be a labor of love that you release to the world and wash your hands of. Once it's out there it belongs to the Internet, and Nintendo can't stop it.
2 - Change enough to turn it into an "original" work, while still being fairly obviously inspired by the IP. If the princess is "Princess Apricot" and she wears a green dress and lives in the Turnip kingdom and needs to be rescued by a bearded carpenter named "Gianni" it becomes different enough that Nintendo has no claim to it. The more you change from the original, the safer you are.