Pretty much all the threads you'll need can be found in the Knowledge Base section. Everything that applies on the PC applies to any other console, except that the PSP/PS2 and Xbox get all the the files needed for a character compiled into a FB.
As far as Jeanie's costumes go, they shouldn't be a problem. The game uses her Dark Phoenix costume for when you fight her, and there are PS2 skins (which work on every system) of her Ultimate (both long and short hair versions), Phoenix (green), Original (the 1960's Jean) and Classic (think the 90's cartoon series).
Oh, also run a search for fbextractor and fbbuilder by Norrin Radd. They're awesome tools that will make life easier when doing mods.
As far as she goes, you can do a complete mod for her, minus sounds (we don't know how to do sounds on the PS2 or PSP). You can reskin the Ms. Marvel mannequin for the character select menu, you have plenty of skins to choose from, and you can create powers/animations using the boss version of her as a base and adding another MUA PSP character's animations.
As far as xDisciplex and I were able to figure out, you can have the regular 27 characters + Colossus + Moon Knight + at least one more character. The stage only allows for 29 characters (27 + Colossus and Moon Knight), but we can cheat around that like I did on the Xbox. I made it so you push up or down on certain characters to get to secret ones. For instance, on the Xbox I push up on any of the X-Men to get Gambit, down on any of them to get Angel.
So to recap, mods are totally possible. You're just limited to any animations you actually find in MUA PSP. The upside to that is there are a lot of NPCs that have fairly big animation sets, making them good candidates for new animations for characters. So your new characters might not have 7 or 8 powers total, but more like 4-5, but hey, that's still fun right?
Have you thought about anyone else you'd add? Can I make some recommendations?
Nightcrawler (semi-easy - start with the Mephisto dark version)
Cyclops (semi-easy - start with the Dr Doom dark version)
Psylocke (semi-easy - start with the Dr Doom dark version)