This can also be written as $m^2=n^3+3$ which is an elliptic curve. They are usually written as $y^2 = x^3 + Ax+B$ where $(x,y)$ are the variables instead of $(m,n)$. This particular type where $A=0$ are called Mordell equations. These are well studied, you could look for "integer points on elliptic curves", see for example following answer for a quite good list on known bounds and algorithms:
It is known (Siegel theorem) that there are at most finitely many integer solutions.
One method of finding new rational points on the curve is "adding" the known points (in the group of the curve). In our case we only known one point. By "doubling" this known point $(1,2)$ we get a non-integral point $(-23/16,-11/64)$, so Lutz Nagell tells us that we cannot find further integral points with this method.
Using the bound mentioned in this answer and the mentioned CAS, we find that there are indeed no further integral points. (Other than the obvious $(1,-2)$)
Regarding your other question: for $p=2$ we get $m^2-n^2 = 2$ which is a hyperbola. You can easily determine all solutions by observing $2 = m^2-n^2 = (m-n)(m+n)$.
I don't think that any other $p$ have been studied, other than perhaps $p=5$ as a hyperelliptic curve.