Tezawaly from Nanapho.jp has done some more digging into that mysterious UnityEngine.dll in the Kinectimals game which gave us hope that there is indeed already a port of the Unity 3D game engine to Windows Phone.
The dll is obfuscated, but does appear to have similar classes as Unity 3D. However the Dll does not in fact use any native code at all and according to WPCentral has a copyright notice for Frontier Developments Ltd, the development company that made Kinectimals for both the Xbox 360, iOS and Windows Phone.
That company does have a cross-platform development engine allowing code and resources developed on PC to be compiled and run on XBox360, PS3, PSP, Nintendo, but this is called Cobra, not Unity.
So confusion all around still, but hopefully Frontier Developments, who I have contacted, will be to clarify the issue.