UMD Video is a format very similar to DVD, but it has a different menu system, which as far as I know has not been reverse engineered.
On the real hardware, the player app for these is built into the PPSSPP firmware, and since PPSSPP is a HLE emulator, we don't run the firmware so we would have to write our own player in order to run these. This would involve reverse engineering an unknown scripting language.
This is a lot of work for something very nice - UMD Video is pretty low resolution and not very interesting over other sources of the same videos, and there are few if any exclusives.
If you really want to play UMD video, use a real PSP.
For more information about the UMD format variants, see Universal Media Disc on Wikipedia.