Marvel: Ultimate Alliance Not on PSP — First Game Skipped It, Second Had Cancelled PSP Version

There is no Marvel: Ultimate Alliance on PSP. The two main entries skipped the platform:

• Marvel: Ultimate Alliance (2006) — PS2, PS3, Xbox, Xbox 360, Wii, PC, GBA, NDS
• Marvel: Ultimate Alliance 2 (2009) — PS2, PS3, Xbox 360, Wii, PC, NDS, PSP ❌ (PSP version cancelled)

PSP Marvel Games That Exist

• Spider-Man 2 (2004)
• Spider-Man 3 (2007)
• Ghost Rider (2007)
• Marvel Nemesis: Rise of the Imperfects (2005)
• X-Men Legends II: Rise of Apocalypse (2005) — similar ARPG style

If you want the Ultimate Alliance experience portable, the Nintendo DS versions exist (downscaled but complete), or play the originals on modern hardware via backward compatibility/PC.