Some days ago I asked this question and managed to come up with an answer that determines the existence of a solution to the equation
$$x^2 + y^2 = k$$
where $x,y$ are non-zero elements of $\mathbb{Z}/p\mathbb{Z}$. In fact, such solution exists for all $p>5$ and $k\neq 0$.
What I ask here is to find what the following alternative argument needs for it to be a complete one.
The Sum of Two Squares Theorem tells us that all the primes of the form $4r+1$ can be expressed as the sum of two perfect squares.
So if we find a prime $q$ of the form $4r+1$ such that $q\equiv k \pmod p$ then there are integers $X$ and $Y$ such that $X^2 + Y^2 = q$ and if $x,y$ are the remainders of $X$ and $Y$ modulo $p$, respectively, then $x^2 + y^2 \equiv k \pmod p$.
Now this would be a solution to our original problem as long as $p$ doesn't divide $X$ nor $Y$.
Such prime is always guaranteed to exist due to Dirichlet's Theorem. Indeed, we need to find a prime $q$ such that
$$q\equiv 1 \pmod 4 \\ q \equiv k \pmod p.$$
For $p\neq 2$ then $4$ and $p$ are coprime and therefore there are integers $m,n$ such that
$$4m + pn = 1$$ due to Bézout's Identity. Note that this implies that $(m,p) = (n,4) = 1$. So any prime of the form
$$pn + 4mk + 4pt$$ for some natural number $t$ would solve the above congruences. Since $(4p, pn+4mk) = 1$ then Dirichlet's Theorem assures us that there are infinitely many primes of that form.
Now, if $k$ happens to be a quadratic non-residue then we can take any prime $q$ of that form, find the corresponding $X$ and $Y$ and project them onto $\mathbb{Z}/p\mathbb{Z}$ for a nice solution because we are guaranteed that $x$ and $y$ are non-zero.
However, we need some additional argument to prove that some primes will yield a solution where $p$ doesn't divide $X$ nor $Y$. This argument would have to fail for $p = 5$ since no such solutions exist for that case, but should succeed for any prime $p > 5$.