It's not a question of speed, but of memory. The PSP just doesn't have enough to store more than one nation, theoretically.
I say theoretically because when you consider that England has five divisions and 116 playable teams, it seems fair to say that running, say, Scotland and France together could be possible (102 teams). However, I'm not sure if the code for the actual leagues is always loaded regardless of what you select, or if it's a modular approach that only loads what's needed.
If it's the latter, of course, then hopefully we'll continue to see more and more leagues in the game.
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