If you found a site claiming otherwise, close the tab. Your PSP (and your antivirus software) will thank you.
The short answer is no . Sleeping Dogs (originally developed by United Front Games and published by Square Enix) was a graphically intensive title designed for the hardware of the PlayStation 3 and Xbox 360. The PlayStation Portable (PSP), while a revolutionary handheld for its time, did not possess the processing power or RAM to run the full open-world version of Sleeping Dogs .