Rock plays Contra on the NES, released by Konami in 1987, the same year as Capcom's release of the original Mega Man.
Whenever 'Blues' character appears in the screen you can quietly hear a whistling song, this is the exact same song heard in the video game. The whistling song is blues own 'theme song'.
It's never implied that Wily created his own version of Megaman. In the game, he is cloned by a machine and forced to fight himself. Wily did create several robots in the series, but he was better at convincing robots to turn on their masters through free will.