We are going to need a picture or a better description than that, as well as a model number (1000, 2000, 3000, psp go?). Preferably all three.
There should be no string inside any PSP from what I know (no mechanical items using it, no need to have it as a cushion for something) so either it is something that crept in there somehow, or it is something that attaches to the little hook on the side of the PSP to put a wrist strap on it.