Tone/Antagonist/Plot Suggestion: Kanako, being from the Outside World and having experienced it there, believes that humans in Gensokyo are living in a relatively unhappy backwards way. Thus, she builds a modern human 'utopia' at the base of her mountain and invites the humans in. MMX takes place a few years later. Even Marisa and Alice like the comforts of the new human society, and Yuyuko [along with Youmu] has taken up residence there due to their human background.
Then, one day, Youkai attack! Youkai from all over Gensokyo start attacking the town. Marisa and Alice are joined by Youmu, and backed up by Sanae and Nitori.
The twist comes after defeating all the enemy Youkai however, when facing down their commander (Probably Reimu, all things considered, she could also fulfill a Vile-esque role during the stages) - Marisa, Alice, and Youmu finally discover the real secret behind the Utopia - Kanako is draining the magic out of Gensokyo to fuel her city! Having been completely unaware, Marisa, Alice, and Youmu now do an about-face to launch an attack on Kanako and figure out a way to stop the city from draining Gensokyo's magic dry.
Characters:
Marisa [Playable. X-Type. Mima Capsules can give her upgrades to mobility/defense/etc., and getting them all unlocks Master Spark. Capable of charging her special weapons]
Youmu [Playable. Zero-Type. Only burns through weapon energy for a couple of her attacks, but limited by close range. Benefits from a double jump]
Alice [Playable. Axl-Type. Can be carried ('hover') by her dolls, and uses generally rapid-but-weak attacks. Now can fire in multiple directions?]
Rika' Tank [First Stage boss]
Momizi [Melee fighting boss. Gives defensive moves based on her shields. Youmu can learn to reflect shots when attacking (maybe just normal ones)]
Orin [Ghost enemy summoning boss. So, summon helpful enemies to your side!]
Aya [Wind powered boss. Quick attacks. Youmu benefits via high mobility wind attack thing]
Yuka [Sunflower boss. Uses flowers as 'traps' to attack for her. Similar moves to players]
Yuugi [Attacks from nowhere! Oftentimes with lasers. Everyone loves lasers!]
Medicine [Poisonous boss. Moves can slow players or enemies down greatly or deal damage over time]
Iku [Electrical boss. Electric attacks for Marisa/Alice, DRILLS for Youmu]
Tenshi [Melee and earth manipulating boss. Grants ground-based moves]
Reimu [First 'castle' boss and Vile-esque rival. Fights ala MM Reimu with some new moves. Leader of Anti-Kanako "Mavericks"]
Shizuka and Minoriko [First actual castle boss. Double attack!]
Keine [Second castle boss. Flipping through history, she summons up old, forgotten memories from the days of PC-98...]
Patchouli [Third boss, Marisa route. REVENGE!]
Yuyuko [Third boss, Youmu route. "But I like it here, Youmu!"]
Nitori [Third boss, Alice route. Has reverse-engineered weapons so similar to your own...]
Sanae [Fourth boss. You totally knew this was coming]
Kanako [Final boss, first half. Attacks with HUEG PILLARS]
Utsuho [Final boss, second half. She's the nuclear core powering the utopia? Did I mention she's a NUCLEAR REACTOR? Obligatory HUEG boss is this]
...That turned out a little longer than expected, but it works. Someone also suggested Orin as Vile-type, in which case you could switch her and Reimu [who would be far too concerned about Gensokyo to fight with the 'good guys'] and have Orin also want to save her friend Utsuho. Obviously, to keep it lighthearted, a teatime with Kanako to tell her off for her bad behaviour is a necessity during the ending.
...Maybe I'm thinking a bit too much on that. And it's fairly long. More stages than MegaMari, but... yeah. The X games are supposed to be harder than the original MM games, as a note, so... Go Wild. 8D
I also suggest all characters get all weapons. Either that or only the selection of two characters you took in will get the weapon [and players still have to rotate due to the splitup in stage 3]. Exploration and weapons that can reveal/open secret areas are useful too, of course.