Trying to addres the case you are particularly interested in, where you want to extend a representation of $C_n=\langle g\mid g^n=1\rangle$ to the dihedral group $D_n=\langle g,r\mid g^n=1=r^2, rgr^{-1}=g^{-1}\rangle$, and the field of scalars is the finite prime field $K=\mathbb{F}_p\simeq\mathbb{Z}/p\mathbb{Z}.$
A simple answer can be given, when $(n,p)=1$. From my answer to another question we extract the bit that an irreducible representation $M_{[a]}$ of $KC_n$ is fully determined by the cyclotomic coset
$$[a]=\{ap^i\in\mathbb{Z}/n\mathbb{Z}\mid i\ \text{a non-negative integer}\}.$$
In the module $M_{[a]}$ a given generator $g$ of $C_n$ acts semisimply with eigenvalues
(in a finite extension field of $K$) that are powers $\zeta^j, j\in[a]$, where $\zeta$ is
a chosen primitive root of unity of order $n$.
In the dihedral group $D_n$ the generator $g$ is conjugate to its inverse $g^{-1}$, so a necessary condition for us to be able to extend $M_{[a]}$ to a representation of $D_n$ is that the element $g^{-1}$ acts with the same set of eigenvalues as $g$. Clearly this happens, if and only if $-a\in [a]$ (here $-a$ is also calculated modulo $n$). This condition is then also sufficient, because we can let the other generator $r$ act by intechanging the eigenvectors of $g$ belonging to eigenvalues $\zeta^j$ and
$\zeta^{-j}$ for all $j\in[a]$.
Edit: More can be said. A useful looking observation is that when $-1\equiv p^i\pmod n$ for some natural number $i$, then $-a\in [a]$ for all the cyclotomic cosets $[a]$. When that happens, all the irreducible $KC_n$-modules can be lifted to representations of $KD_n$.
That settles the question in the case of irreducible representation. The above discussion implies that the reducible representation $M_{[a]}\oplus M_{[-a]}$ can always be extended to a representation of $D_n$. The general case requires that the irreducible summands of the representation can be paired up in this way.
This question also shows up in the theory of cyclic codes. It is possible to classify those cyclic linear codes that are also stable under the reversal of the symbols of codewords using this bit of theory.