I think the full name is/was the PlayStation-X, but the X got dropped off somewhere along the line and only hangs around in the abbreviated PSX form. I'm not sure exactly where the "-X" stopped being used, but it might have been during the time when the system went from being the intended Super Nintendo CD-Rom add-on it was planned as to the stand-alone machine it eventually turned into.
Well, I'd be watching anyway, but Steve Martin (in my opinion) is one of the funniest men on Earth. The only way it could be any better is if they talked Billy Crystal into doing it again. That or the god of comedy himself, Bill Murray.