Just some comments which format better in an answer than in a comment. They may help give some insight into the nature of a solution.
Using the convergents to $\sqrt 2,$ it is quick to check that there are no other small solutions ($p\lt 10^{14}$).
If we ignore the prime condition for a moment we have $p=2n^2-1$ so that $$(2n^2-1)^2+1=2m^2,$$
which reduces to $$4n^4-4n^2=2m^2-2$$ or$$2n^2(n+1)(n-1)=(m+1)(m-1).$$
The left hand side is divisible by $8$. Noting that the highest common factor of $m+1$ and $m-1$ must divide their difference $2$, either $m+1$ or $m-1$ must be divisible by $4$. If $n$ is odd, this is replaced by $8$.
The left hand side is also divisible by 3, so either $m+1$ or $m-1$ is divsible by $6$ (both have to be even).
This form of the equation suggests there may be other constraints which are demanding to meet.
Note also that $m$ must be odd, so the right-hand side is eight times a triangle number, while the left-hand side is $8$ times the product of two successive triangle numbers - namely, with $m=2r+1$ we can cancel a factor $8$ to obtain $$\frac{n(n+1)}2\cdot\frac {n(n-1)}2=\frac{r(r+1)}2$$