Congratulations on all of your son's achievements! He is doing so well in SO MANY areas! Be sure to let him know that his hard work and effort is awesome! I agree that you don't need to stress about the letters/numbers right now, but I know that I would be a little concerned, too.
Questions regarding "messing with you": Were you still offering pennies during the review? Were you matter-of-fact about him not knowing the letter, or showing frustration or deep concern? Does Dad only get involved when your son is not showing results? Do you ever talk about being proud of his "best effort" -- no matter if it's *right or *wrong?
More Questions regarding learning style: You mentioned books, flashcards, tv/video and puzzles ... have you ever tried him making the letters from playdough, pipe cleaners or fingerpaints? (Maybe paint the letter B and then show him how to make it look like a honey bee. Make a playdough B, let it dry hard, then have it chase you/him like it was a bee going to sting you.)
I just wanted to suggest a few tips to "test" whether or not he's "messing with you". He probably isn't!! But to check, you can all play (Dad, too) the game with the pennies again ... let him again earn 2 when ever he gets it right, but then take one of his (from his bank) away when he gets it wrong. If he suddenly gets it right again, you'll know that he's learning, but just not a performer. If he's upset about losing the penny and still doesn't get it right, you'll know that he truly isn't retaining the lesson. (Don't get frustrated or overly concerned. Be sure to make it FUN - not all about correct answers every single time. When he losses a penny, it's the normal consequence of the game, not a punishment.) I would also give him a goal of earning 26 pennies so that he can earn something fun (like a sheet of stickers) ... and incorporate Counting (the pennies) into the lesson ... and maybe even line them up on top of alphabet puzzle while singing the ABC song as he places a penny on each letter. As soon as he has enough pennies to get to z, he gets something special.
My boys had a Leap Frog Fridge Phonics - You could incorporate it into a game by taking the 2 letters he learned and hiding them somewhere and when he finds it, he calls out what letter he thinks it is, then runs to the fridge to "plug in the letter" and check if he's right. Right or wrong, it's still fun and the game continues for as long as he enjoys it. (My boys never get tired of hide-n-seek ... they will play any learning game for much longer if I turn it into a hide-n-seek game. When my 8 yr old is tired of telling time (5 mins), I hide the clock in the playroom and he has to try and find it and yell the correct time before the timer goes off. He'll play for another 30 mins!) Also my sons are close in age, so there's a healthy competition at our house. Maybe your son would enjoy these games with a friend? Can you invite a same-age boy over for a playdate and play the fun learning games with the two of them? It would help show you what level your son is at compared to the friend. If it's totally mismatched, and your son gets sad or frustrated, change the game to hiding other objects, or earning pennies for knowing colors instead of letters/numbers. Mix it up and use your son's strengths so that he can win, too.
Oh! my sons LOVED to play with shaving cream at that age. We would spray it onto the counter top and write letters in it. You could play shaving cream one day, teach him a letter, and let him "earn" shaving cream time if he can tell you the letter the next day. Same with paint ... help him paint the letter one day and if he remembers it, he gets to paint again the very next day.
Well, now that I wrote you a book ... SORRY! I just want to say that you should relax and enjoy teaching your son. He's very young and has a whole year & a half before he "has" to know letters and numbers. Don't pressure him! If you have a feeling that he's "messing with you" already, you should try changing your approach to teaching and your expectations at seeing results. If he sees that answering correctly satisfies you, but answering incorrectly gets him extra attention, then he will go for the extra attention all the time. If he does have a learning disability, these games will help him have fun while learning, thus making the learnng experience totally enjoyable - and something to look forward to - instead of frustrating. It will also strengthen your family bond and help you understand his best learning style. Enjoying special time with mom and dad on a daily basis while he plays/learns is going to positively shape the rest of his life. Have FUN with it!
Good Luck and God Bless!