Ephedrine and pseudoephedrine are both beta adrenoceptor agonists, which means that they partially mimic the effects of having an adrenaline rush. "Partially," because they differ structurally from adrenaline enough that they don't perform all the actions that actual adrenaline would to the same degree--both ephedrine and pseudoephedrine, for example, elevate your heart rate and blood pressure less than adrenaline would. Ephedrine will do much more to dilate your bronchial passages and raise your body temperature (and metabolic rate) than psuedoephedrine will; pseudoephedrine, on the other hand, is more effective as a decongestant.
Caffeine, however, is a phosphodiesterase inhibitor, and phosphodiesterase is an enzyme that breaks down cAMP (cyclic adenosine monophosphate) which is a messenger chemical that is generated within the cell in response to the stimulation of a suitable receptor (such as a beta receptor excited by the presence of ephedrine). So, what caffeine does is to make the other stimulatory chemicals more effective--ephedrine switches the cellular processes on, caffeine makes them stay on longer.
So, yes, caffeine will cause pseudoephedrine to be more effective for keeping your nose clear than pseudoephedrine would be alone. Current research does not indicate that this is a major advantage in weight loss, however. So, you're much better off with ephedrine, which can be found in several OTC asthma medications (and it's not going to make much difference whether it's ephedrine HCL or ephedrine sulphate).