I was following instructions to it. https://github.com/sselph/scraper

Rpi v2
$ wget https://github.com/sselph/scraper/releases/download/<release_name>/scraper_rpi2.zip
$ sudo unzip scraper_rpi2.zip scraper -d /usr/local/bin/

cd RetroPie
cd roms
ls (shows directory)
cd psx
scraper -thumb_only

It appears that thegamesdb.net isn't up. If you are sure it is use -skip_check to bypass this error.
No sources available (As I already know this was an issue some time ago)

I saw he posted 3 days ago
Thanks for the heads-up. It looks like it has changed. I'll convert the
code over this weekend.
https://github.com/sselph/scraper/issues/230

So I'm going to do a bit of waiting and see.