Also, it's not a good idea because it would still render the same (aka with the white background) also, psd is specific to Photoshop, where photoshop, even though it is a primary image editor, not everyone uses it, and even though most major paint programs do support a psd exporter, not all do, so not everyone would be able to use that feature, and not everyone would want to buy a $200+ paint program, depending on which one you buy, just to be able to get the same effect, so it's not worth anyones time to implement a format that wouldn't be used properly

Plus PSD would use a layered format which wouldn't be read properly by a renderer anyway, it would replace the blank (transparent layer) with 255, 255, 255 aka White