Haven't really been keeping up with the news regarding this game so i'm not sure how old this information is, but only found out today that Leona is to be playable in the PSP version of Metal Slug XX.
According to the Official Playstation blog she is to be included as DLC for 99cents, although not an incredible amount of money i'm not sure why she isn't included as standard...
The game is already out in Japan, £30 on Playasia for the Japanese version or £28 for the Asian version, and is due for release on Feb.23rd in the US.
No release date i can find yet for the UK. =_=
Anyway back to Leona, from what i can tell she has her Moon Slasher attack and throws her earring explosives instead of grenades.
Also as i mentioned in a previous entry this game will also be due out on Xbox Live Arcade at some point this year, though no details currently whether Leona will be in that version yet.
And finally whilst on the subject of Metal Slug, i've read about there being a version on the iPhone, not too sure if it's any good or not but i can't imagine playing Metal Slug via touchscreen.
More screens on the SNKP official site.