Interesting. An interview with PayDay 2 developer David Goldfarb might have uncovered a seemingly hidden nugget regarding the Killzone games: that Killzone 3, the last PS3 release in the series was originally going to be Killzone 2. So where does that leave Killzone 2?
And where did that game go?
He talks (briefly) about that infamous E3 trailer (posted above) but also states that he worked on Killzone 3 which then ended up being Killzone 2. That suggests that whilst Killzone 3 was aiming at PS3, perhaps there was a Killzone 2 in development for PS2 which was canned.
Maybe they were even working on them at the same time.
The most likely scenario is Killzone 2 (then) might have been a portable title, one that eventually ended up being binned or translated wholesale to the PSP.
Chances are we’ll never know.