I have taken one such instance of zero-sized and tried the same command in a different directory then I got expected result.

This indicates that the effect is not caused by psiblast, but by problem with the local system (hint: volume/disk full?). Check for existence of all files, permissions and check free space with df.

I am running several psi-blast in a script in different directories.

Indicates that probably your script doesn't handle exit status error codes or discards STDERR, look for error messages in your output.

use return value checking by wrapping psiblast calls using some code like this:

if psiblast ...
then echo psiblast successful
else echo psiblast error
exit $?
fi