If the PCE is like the TurboGrafx, then the voltage is fed to a 7805 in the console which runs at 5.02v and powers the system; the 7805 can take 7v to (I think) 14v; so if you don't have a correct power supply, you can use a power supply and jack from something else (like a spare PSone screen supply at 7.4v, and power jack), connect the power jack in the console and use the alternative external power supply. If you use a power supply of 7-10v you should be fine, as this voltage is lower than the console normally uses so you won't harm your system (as long as you wire it correctly of course).
For example, my TurboGrafx is stated as needing 10.8v, yet I run it off a 7.4v Li-ion, or 6 x AA's or 6 x NiMH cells (7.2v) absolutely fine, as this is enough voltage to drive the 7805 regulator. I needed to do this anyway as the power supply came with a Euro plug not a UK one! According to my multimeter, the TurboGrafx seems to run on around 550mA or thereabouts. If you use a CD on the TG/PCE, that adds I think another 1.5 amps or so - one of the various reasons I am not using a CD in my mod and just using HUcards.