IIRC There was one impossible level PSP Lemmings when you play it with Lemmixplayer. That was Special level 33 Cagey Business.
Lemmix player, like neolemmings too requires 2 builder over the whisper trap. I see PSP Lemmings could build it with one only. I spend good amount waste time and not succes it, so i´ll going watch PSP version video and i figured it was impossible with lemmixplayer. That was just version difference which not was fixed.
Yeah that was only impossible level i ever played. Though im not goes count "EXTREME" Levels which required huge amount skills and so much Freak timings. Those levels not are impossible, but way too hard by many persons.