PSD = Power Spectral Density.
Since it is indicating Power - there most definitely has to be an assumed impedance. Most of the time, 50 ohms is assumed for nearly all RF applications. 75 ohms for video/CATV applications. 600 ohms is common for audio. If you are comparing to a standard RF Signal Analyzer or Spectrum Analyzer, then it is most likely using 50 ohms as the load/reference impedance.
The "Spectral Density" part means that the result is normalized to a 1Hz measurement BW. Many Signal Analyzers do not offer a real 1Hz resolution BW filter, thus will perform a calculation to get there. More modern signal analyzers will perform this measurement using a discrete Fourier Transform (like FFT or Chirp Z) in order to arrive at the 1Hz effective resolution BW.
Your scope FFT gives you Vrms^2 so that you can divide by your impedance to arrive at Power. If you want the Signal Analyzer and the FFT reading to match, then you'll have to make sure that you use the same load impedance in both cases (because the source impedance of the thing you're measuring will determine the power delivered to a given load).