VW's Walter de Silva recently said he is "convinced that a small roadster wouldn't be the worst thing for Volkswagen." It's probably the opposite of the worst thing. The worst thing would be the company going out of business.
The last time VW thought about building a small roadster was with the Bluesport concept that was shown in 2009. That pretty little roadster looked a bit like a smaller Porsche Boxster with a mid-mounted diesel lump.