Megumi is not dead in the JJK manga. The manga continues to feature him and his adventures. The story hasn't reached a point where his character is killed off.
Sasuke would probably be very guarded at first. He's not used to dealing with something so innocent and vulnerable. He might be suspicious of the baby's presence and think it's some sort of trap.
Sasuke would be furious. He's always been protective of Naruto in his own way. He would immediately start looking for her, using all his skills and resources. He might even go on a rampage if he thought Naruto was in serious danger.
On the other hand, Sasuke could be very stoic about it on the surface but internally be in turmoil. He might start to analyze his own actions and whether he had missed any signs from Sakura. He could also be the type to immediately start thinking of ways to win Sakura back if he realizes he can't stand the thought of her with someone else.
Sasuke might be initially surprised. He is used to the Sakura from his past, so seeing a different, more mature future Sakura could catch him off guard.
I think young Sasuke would have a very intense reaction. He was so consumed by his hatred for Itachi at that young age. A Sasuke vs Itachi fanfiction would be like a trigger for him. He would be eager to see how the fictional fight is portrayed. If Sasuke in the fanfiction is shown as strong, it might fuel his own ego and make him strive even harder to become powerful. However, if the fanfiction shows Itachi as superior, it could enrage him. He might feel that it undermines his own goal of defeating Itachi and he might even want to find the writer to correct their 'wrong' view.
As of the latest chapters I've read, Megumi is still alive in the manga. Usually, such major character deaths are significant plot points and would be well-publicized if they occurred.
In some cases, Sasuke could be angry. He might see Naruto's request as a sign of weakness or as Naruto giving up too easily. He could lash out at Naruto, telling him to fight instead of asking for death. However, he would still be deeply troubled by the request and would probably struggle with it for a long time, constantly thinking about whether or not he should consider it.
Sasuke could react very angrily. He might lash out at Sakura verbally, asking her how she could do such a thing. He has always been a bit of a hot - headed character, and this situation would likely trigger his temper.