The Elder Scrolls 4: Oblivion was in the works at one time for PlayStation Portable. Obviously, it never came to market or you would have heard of it by now, but today, you can look at footage of what might have been.
Footage of canned PSP version of The Elder Scrolls: Oblivion surfaces
You can look over the history of how the discs of the canned game were found through this post on reddit.
Climax was the developer on the title, which had "Travels" in the name, and it was a more linear version of Oblivion.
The Elder Scrolls Travels: Oblivion was was slated for 2010, but unfortunately, it never saw release due to time and monetary constraints.
Previous portable Travels titles were developed by Vir2L Studios from 2003 -2004 exclusively for J2ME and BREW devices. The studio was acquired by ZeniMax after it purchased Bethesda Softworks back in 1999.
Since all gameplay footage we have found posted has been removed from Bethesda, Unseen64 has more information.