Great question - i did a quick search out of curiosity, and it seems the console is called just that, but it actually means this: "three-dimensional operating system"
Good thing they just used the initials :p
Anyway, HOLY CRAP, that PSX was a shock, really I allways thought that we used PSX here in Brazil because the way we pronounce "Station" sounds like "Stashion", or rather, "StaXion" - funny...
Also, what Clayton said is true, for us it's the simplest way to speak just "play" and give the corresponding number. When PS2 did not exist, it was called just "Play" XD Good times :3
Now, really, it would be interesting if sony TRIED to release a "PSX2", since it wouldn't be SO bulky with the new tecnologies and would be probably cheaper :3 It DOES sound like a great piece of hardware.