Simply putting it, no sprite sheet exists for any character or object. However if you wish to create one for your own purposes, that's fine too.
SRB2 characters are composed of individual sprites within their own respective .bmp (bitmap) files. These character sprite frames are normally named PLAY (Or another 4 character word of your choice) with A1, B1, C1, etc., appending after it. The A1, B1, C1, etc., are sprite indexes and angles for each frames. (Eg. PLAYA1 is a simple standing (A) sprite of Sonic from behind (1). PLAYB1 is one of the waiting frames (B) of Sonic from behind (1). PLAYC1 is the second waiting frame (C) of Sonic from behind (1).)
Perhaps it is better if you were to look in the contents of a wad file yourself. SlumpED or XWE are notable examples of viewing what is inside a wad file. Simply open up one of the .plr (player) files once you have done so and see how everything is layed out.