We have
$$\sum_{m,n=1}^{m^2+n^2\leq R^2} \dfrac1{(m^2+n^2)^{p/2}} < \iint_{x^2+y^2 \leq R^2} \dfrac{dxdy}{(x^2+y^2)^{p/2}} = \int_{r=0}^R\int_{t = 0}^{2 \pi} \dfrac{rdrdt}{r^p} = 2\pi \int_{r=0}^R \dfrac{dr}{r^{p-1}}$$
Now conclude what you want.
You can also show that $p>2$ is necessary by lower-bounding
$$\sum_{m,n=1}^{m^2+n^2\leq R^2} \dfrac1{(m^2+n^2)^{p/2}} > \iint_{x^2+y^2 \geq 1}^{x^2+y^2 \leq R^2} \dfrac{dxdy}{(x^2+y^2)^{p/2}} = \int_{r=1}^R\int_{t = 0}^{2 \pi} \dfrac{rdrdt}{r^p} = 2\pi \int_{r=1}^R \dfrac{dr}{r^{p-1}}$$