fan on PSU? as if this is the case, means your PSU gets hotter, (or) you want to say that the fan on CPU? (assuming mistakenly written), as when you are playing games, your hardware is at boost.
as if I have to quote my example, I usually dont play games, but Once i installed Age of Mythdology, and my PSU's fan speed increased, as because my graphic card was pumping iron, needing more wattage, and therfore PSU got hotter, and it doubled its fan speed.
to see what your mobo is: i'll be linking a software here, called Astra32.
this is beta version, but will tell you what u have inside, download it, chekc ur sytstem and tell me then.
download size is around 1MB only