Impossible at the moment, maybe in the future if OpenDrakan project is finished and someone ports it to PSP. From a little searching, you can only use PSP as a monitor and controller for the games that run on your computer.
On the PSP itself, you can only play certain DOS games using PSP version of DOSBox emulator, but Drakan is not that old for this to apply, being a newer Windows game.
"When a human being takes his life in depression, this is a natural death of spiritual causes. The modern barbarity of 'saving' the suicidal is based on a hair-raising misapprehension of the nature of existence." - Peter Wessel Zapffe