Well, don't know quite how they did it, but it seems that an industrious person ported the J2ME VM to the PSP. From the awesomely named Pimpware.org, comes the following:

Introducing PeeJay!

PeeJay? Yeah PeeJay..! Or call it Psp Java, PimpJava … Java for ur psp!

Yep, I made a small port of the j2me (K)VM, making my PSP capable of running JAVA programs.. It was a very easy port…. as the Sun KVM is easy to port. It was done in a jiffy… …

So, here's the deal. I know that there are ways to run unsigned code on most any compute device. I also know that practice is, to put it mildly, frowned upon by the device manufacturers. This may have something to do with why, after contacting Sun, we declined permission for him to distribute the VM.

However, from a geek/tech perspective? Pretty neat