I think you're expecting any module installed for CPython to work with PyPy out of the box. That's not the case. It's the same when you upgrade from CPython 2.6 to CPython 2.7: the modules you have already installed for 2.6 are not automatically available for 2.7, and must be re-installed. Similarly, you must re-install the modules for PyPy.
This said, the standard pygame doesn't work too well with PyPy, but stay tuned; it seems someone is working on a version of pygame based on cffi, which should work very well with PyPy.