Yes like the antennas hanging off a WiFi router. You could
use the bay to stash a longer pigtail and get marginally better signal but sadly the truth about antennas is that they need to be physically bigger in order to capture more signal. A good idea that I saw was actually using one of those adapters I linked and modding the case of the PSP so that the female SMA connector is sticking out of the case. Then, the antenna could simply be detached when not in use.
The other possibility is to build an even bigger wire antenna into the frame of a backpack then connect it to the PSP then you don't need to muck around with an antenna in your hand looking like a nerd, just have to turn your back toward the source of the strongest signal