Yes, but not via PPSSPP. Here are your real options:
YouTube videos showing "Forza Horizon 4 gameplay on PPSSPP" are almost always either: Forza Horizon 4 Iso File For Ppsspp
Verdict: 100% of direct "ISO for PPSSPP" downloads are scams, viruses, or mislabeled files. Yes, but not via PPSSPP
You cannot run an Xbox/PC game from 2018 on a handheld emulator designed for a 2004 console. The PSP’s hardware maxed out at 333 MHz CPU and 64 MB of RAM. Forza Horizon 4 requires a multi-core CPU, a dedicated GPU with DirectX 12 support, and at least 8 GB of system RAM. The architecture is entirely different (x86 vs. PSP’s MIPS). Verdict: 100% of direct "ISO for PPSSPP" downloads
There is no "ISO file" for Forza Horizon 4 on PPSSPP because the game does not exist in PSP format.