Simply put, which PSP games that came out in Europe have multi-language support, or again, how do I find out which ones have said support?
A simple and efficient way of checking whether a game has multilingual support is checking the back of the box where the languages are listed. If you're interested in ISO's only, release notes should have information about it. The most common markings are Multi, for example Multi5, which means that the game has 5 languages embedded in it.
By the way, it's not PAL, it's EUR or simply E. PAL refers only to systems connected to a television set, much like NTSC.