Yes, you read that right. There is a version of the famous PPSSPP emulator specifically designed to run on the PSP itself. This allows the PSP to interpret the game files differently than standard PSP games.
“Step two,” Leo whispered, connecting the USB link cable. It wasn't for data. It was for sync. He had spent a week ripping the audio files from his old PS2 disc of San Andreas and compressing them into a ghost file. On one PSP, he loaded the radio chatter—WCTR’s talk show. On the other, he loaded the raw game engine from a homebrew demo. how to play gta san andreas on psp link
Legal note
: By using a PC or PS3 running the game and a data cable or Wi-Fi, you can use applications like Yes, you read that right