I think you'll have to just open the image from Photoshop, rather than going through LR (though in LR of course you could right-click on the image and click on "show in finder" to find the file). In LR prefs there's only options for TIF and PSD in the external editing section (but maybe someeone else knows a way to do what you want to do).
There are some things PS does that you can't do in LR, but the Develop module in LR is really quite good once you get used to it--I only rarely go into PS for editing.
