PSP Unlocking

I’m thinking about buying a PSP, but one problem is that games here are a bit expensive and not all are available, I do not download pirated games cause I have moral issues against that, and ordering games online would cost double with the delivery cost cause I live in a far country…

For PC sometimes I buy games that you pay for and they give you the unlock key, thus saving you costs for delivery and material cost making the game about 5 times cheaper than ordering the box, those are called “Digitally Distributed” games, so my question is, are there such for PSP? and if I get them, do I have to burn them to CD’s and stuff or can I put them on the device’s memory chip and play them from there?