No. Every PSP model (1000, 2000, 3000, Go, E1000, Street) ships without a Memory Stick PRO Duo in the retail box.
PSP Go (model N1000) has 16 GB internal flash (no MS slot). You cannot expand storage officially. Homebrew (Pro CFW + PSP Go Bluetooth/USB host mod) can mount external drives, but it's niche.
Insert MS → Power on → System Settings → Format Memory Stick. Creates ISO/, GAME/, SAVEDATA/, MUSIC/, VIDEO/, PICTURE/ folders.