Keep in mind that NeoLemmix only has half the resolution of Windows Lemmings (assuming you're meaning the Hi-Res graphics; the low-res ones are identical to DOS if I'm not mistaken). So, it may not work overly well. I believe Mac is also similarly high-resolution. PSP I'd imagine is even higher-resolution again, though it's possible it's just higher-quality but the same resolution as these others.
I'm also fairly sure no one has ever decoded the graphics format for PSP or PC Engine. Windows definitely has been (the unmodified Lemmix Editor contains code to extract WinLemm graphics), and I've seen some ripped graphics from Mac, though I have no idea whether they're actually extracted or just done via screenshots etc.