The Sega CD crashed and burned really hard due to Sega's wrongfully actions but on the bright side is that the Sega CD add-on does have some games worth playing. So, as such, if you want to play said games on PSP, PSTV or Vita then the audio won't play automatically because of the limitations of the emulator.
In this tutorial I'll leave it short and sweet, plus with the download link of the tools.
Step 1) Make sure to have the full BIN and CUE files of your Sega CD games.
Step 2) Make a folder to have the files organised, I'd recommend one for Sega CD and another one for the Tools (so no mixups).
Step 3) Download the Tools Pack below and after doing so load one of the CUE files to bin_to_cso_mp3.exe
Step 4) Drag and drop one of the CUE files to bin_to_cso_mp3.exe and it will start doing its magic.
Step 5) On the Sega CD folder the audio files will become available in a folder and once that's done all's left is to transfer them to your PSP or PSTV/Vita (make sure to copy the audio files to the same directory of the BIN/CUE).
Step 6) Load the game on your Sony device and enjoy it!
Download the Tools Pack: Here