N online guide for GTA Chinatown Wars for iPhone

No, there is no way to save it. I believe some large vehicles can be saved using the "chevron bypass method," but even that won't work for the Rhino.

According to Machienzo (an user on Neoseeker, emph mine):

It honestly is a simple as it sounds. Just hold L, then push the Analog stick and hold it in the direction you want and push O. If you're in a car, you can only throw it left and right of the vehicle through of the windows. If that by all means isn't working, make sure that you're buttons are still working.

Can you see a Yellow or Green line coming from the player? If so, that means that L and the Analog Stick works. Maybe O is your problem. You can still use the Analog stick on your PSP no problem? Can still fire a Gun? Maybe the problem lies with L. Make sure your L button hasn't screwed up. After all that, it should work. You otherwise must be doing something wrong. =/