"As I understand it's related to PSEN, RD and WR pins."

In the original 8051, the IC contained just the microcontroller alone; the Code and any external memory were literally external - outside the 8051 package, provided by other ICs, and necessitating the use of PSEN, RD, WR etc pins for their control.

These days, many 8051 derivatives include code and/or data memory integrated onto the same chip - but they are still accessed by the same MOVC and MOVX instructions.
Thus there is now a certain ambiguity in the term "external" - it could be used in the "traditional" sense, meaning memory outside the 8051 "core" and accessed by MOVC/MOVX even though it's integrated within the same package; or it could be used literally for additional memory outside the chip!