You won't be able to put them on the discs that it uses if thats what you mean.
Its either Microsoft X-box or Sony Playstation 2 that has a protection feature where about 2gig is copied on one layer, and then it skips to another layer and does another 2gig to make the discs, which is very hard to copy, adn I'm sure PSP will have the same type of protection, plus the size of the discs. Roms wouldn't help for this anyway, since they'd have to be ISO files (images) to play them actually on the device.
If you have a psp, they'd be no point doing this anyway, and most emulators out there are fake. I doubt very much that people would have created a working PSP emulator yet that wouldn't just be a virus.
So I'm afraid you'll have to buy them...
I'm sure if you have bought a PSP you can afford some games
You just have to look out for good prices since I know prices for games are on the up. Internet tends to be always cheaper, as is Ebay auctions usually which are sometimes second hand.
Second hands aren't bad, though I don't trust them as much since we have swapped to using discs rather than cartridges in consoles, though is still a good cheap option if you are low on money