It is not hard to prove that every element of $\mathbb{F}_p$ has a square root in $\mathbb{F}_{p^2}$: take any $a \in \mathbb{F}_p$ and consider the polynomial $f = X^2 - a$. If $f$ has a root in $\mathbb{F}_p$, then we are done. Otherwise $f$ is irreducible over $\mathbb{F}_p$, let $\beta \in \overline{\mathbb{F}_p}$ be a root of $f$, then the extension $\mathbb{F}_p(\beta)$ has degree $2$ over $\mathbb{F}_p$, and hence by the uniqueness of finite fields we have $\mathbb{F}_p(\beta) = \mathbb{F}_{p^2}$, so $\beta \in \mathbb{F}_{p^2}$. With exactly the same proof we can see that every element of $\mathbb{F}_p$ has a cube root in $\mathbb{F}_{p^3}$.
But I don't know if a similar statement holds for an arbitrary $n$. If $n>3$, the fact that $X^n - a$ has no root in $\mathbb{F}_p$ is no longer equivalent to being irreducible. So the thing that we would need to show in this case is that $X^n - a$ has an irreducible factor whose degree is a divisor of $n$. I don't see how to do that.
The problem would be solved if we could prove that $\mathbb{F}_{p^n}$ contains an element $\beta$ whose multiplicative order is $n(p-1)$, since in that case $\beta^n$ is a primitive root mod $p$. But, from the fact that $\mathbb{F}_{p^n}^{\times}$ is a cyclic group, if follows that the previous condition is equivalent to $n \mid p^{n-1} + p^{n-2} + \ldots + p + 1$, which does not necessarily hold (it does in some special cases, such as $p \equiv 1 \pmod{n}$).
Could someone please help with this?