The alternative is hooking the negative lead of the power supply to the input of the load, and the ground lead of the power supply to ground. But then the drain to source voltage will be negative.
Power MOSFET contains a bulit-in "body diode" which conducts current freely in reverse direction, even if the MOSFET is otherwise turned off (zero gate voltage). So this can't work.
So does the negative lead of the power supply go to ground and the ground lead goes to the input of the load? Won't this short the power supply to ground?
This can work if there is no external connection between the ground of the PSU and the ground of the load.
For example, if the PSU under test is earthed through mains and you connect an oscilloscope probe alligator clip to the ground of the load circuit, the PSU will be shorted through the oscilloscope.
If the PSU is not earthed then this can work. In particular, batteries are no problem at all.
If the load is not earthed, and no earthed equipment like oscilloscopes is connected to it, then it will work too.