.psp files are Paint Shop Pro files (saved in version 7.00)

It does not produce good .tga files when working with transparency.

So save to .png and convert online to .tga.
https://convertio.co/

Some tiles in the combined tileset have missing transparency,
 means they are already merged with a black background. But it's
 not a problem for this project since they all are displayed on
 an empty (black) tile.