In the WinSCP menu go to Options – Preferences.
Click on Editors in the left side menu. Check if there is the PSPaD editor on the right side of the screen in the section Editor Preferences. If not, click Add… under the list.
Select External Editor and find the PSPaD location on your computer. Confirm the selection by clicking OK.
The item PSPaD will be added to the list. Click on it and move it up to the first position with the Up button.
Click OK to confirm and complete the setup.
All files that you will open in WinSCP will automatically open in PSPaD. The downside is that a new file first has to be created via WinSCP (or another SFTP client) and only then it can be opened for editing (it cannot be directly created via PSPaD).
Another possibility is to connect in the PSPad editor via Tunnelier.