Frequency vs. Density.
In PFM, different values are encoded as different frequencies. Imagine a system where a signal level of 0% is represented by a square-wave signal modulating at 8 Hz, and 100% is represented by the square-wave signal modulating at 10 Hz. (I picked the frequencies arbitrarily). With this system you can represent digital 0s and 1s as a stream of square-wave signals at 8 Hz and 10 Hz respectively. Or, you can represent the value of 0.5 (50%) with a 9 Hz signal. You can even represent a -1 with a stream at 6 Hz.
So in this contrived square-wave PFM encoding:
6 Hz: -1
7 Hz: -0.5
8 Hz: 0
9 Hz: 0.5
10 Hz: 1
In PDM, however, the values are not represented by frequency, but by density: the ratio when the signal is "high" (on) vs. "low" (off) over a period of time.
Notice that all of the PFM square-waves above have the same density: 50% on : 50% off. So all represent the same 50% value in PDM (given the range from -1 to 1, 50% might represent the value of 0).
Increasing or decreasing the frequency has no effect. To reduce the value you need to make the signal more sparse. Conversely to increase the value you need the signal more dense.
(PDM example from Wikipedia)
If you fix the PDM frequency, and vary the density by changing the duty-cycle, then you have PWM (Pulse Width Modulation).
Delta-Sigma is a
method of modulation. The result of Delta-Sigma is a PDM stream.