Where are you getting the information that there is no wlan0?Force meaning Connect even when there is no wlan0.
To know for sure, run: iwconfig
Edit It may be that this wifi adapter is initially in a "blocked" state and is hidden from the kernel. So the firmware doesn't get loaded.
When you start PeasyWiFi, it runs an "rfkill unblock" operation which would enable the adapter. Then the kernel could load the firmware.
Then the wlan0 interface would appear.