outsider:
I assume the yellow wire is for grounding pin 2 to wake up, it needs to be pulled up to keep it from floating, but do internal pullups work when asleep? Maybe better to use external 27k or so pullup.
You are correct; yellow wire is for grounding.
Nice thought! What I can understand by reading ATmega328P datasheet is that there are 3 cases for a pin to be in a tri-state:
i) PUD bit is HIGH,
ii) PORTxn is LOW,
iii) during RESET
Update: Anyhow ATmega328P arrived yesterday and everything works fine. Not a priority right now to solve the MEGA board mystery.