Rumors regarding a PSP phone have circulated for almost as long as the gaming handheld itself has been available, and despite Sony's best efforts they refuse to die down. According to the Nikkei business daily this weekend, Sony is looking to set up a department that would explore gaming/phone hybrid devices; the team could be established as early as July, suggests the report.
While the Nikkei's sources are unspecified, the Sony project is tipped to bring together their own gaming-device experience and the cellular functionality of Sony Ericsson handsets. That implies that the project may not be a Sony Ericsson device but solely bear Sony's branding; previous rumors have suggested strong internal disagreement over Sony Ericsson handsets using the PlayStation name.
Sony themselves have declined to comment on the report, which does at least make a change from the usual "we have no plans" we tend to hear from them. Their most recent handheld, the PSP Go, has WiFi but no 3G connectivity; however as it relies on digital distribution for its gaming titles and content, it would be a likely candidate for the sort of anywhere-downloads integrated WWAN would permit.