PSP is region free. If you bought an EU game it would play on any US PSP.
PSP games may be region free (at least most of them) but that is not the case for PSX games that you convert yourself. PAL versions are far less likely to work than the NTSC version, especially if the PAL version is not available on the PSN store. Of course, if you stick with official PSN versions (either purchased or pirated) rather than converted eboots that won't be a problem (though the PAL versions might suffer from speed issues, but that would happen even on a PAL PS1).
Also, trying to play PAL versions of 8 and 16 bit games (NES, SNES, Genesis) is known to have problems as those systems relied on the 50/60hz refresh rate to control game execution speed.