Some other first week debuts for comparison (all on PS3):
Grand Theft Auto 4: 2.5m
Metal Gear Solid 4: 1.7m
Call of Duty Modern War: 735k
Gran Turismo 5 Prologue: 640k
Pro Evo Soccer 09: 614k
FIFA 09: 510k
Devil May Cry 4: 519k
Call of Duty 4: 445k
Madden 09: 436k
Resistance 2: 403k
That's not intended to be a complete list either, more of a snapshot of how some other games have fared. I would guess that the total for Killzone will probably be roughly around the latest Call of Duty (~700-800k), due to the similar demographics of the games. I would be surprised if Killzone were to debut over a million; it's not that well known outside of the gaming community, and it's not part of an established franchise.