Yes i realise i'm answering my own question...sigh*

anyway i emailed ZX-81 and thought i'd post his answer to my question

He said that since KH:CoM is greater than 16MB it will not load due to the PSP having too little memory. I'm guessing he means RAM as i tested this on a 1GB memorystick.

Though i'm a little confused as the PSP has more RAM than then GBA.