In fact, the source code for some games was lost even before the Saturn was discontinued (Panzer Dragoon Saga and Magic Knight Rayearth come to mind.) In fact, it seems that NiGHTS is the only Saturn game that the company retained.
The problem with that is that Sega has lost the source code for nearly every Saturn game. Their other option would be to do HD remakes. Even the best Sega Saturn emulator out there has great difficulty running most games They could use emulators, which is nearly impossible due to the radically different architecture of the Sega Saturn compared to any games console. Sega would have two options if they wanted to put Sega Saturn games up on Steam, neither of which really works As cool as this would be, it's almost impossible to do.