Recall the factorization $(x^n-1)=(x-1)(1+x+x^2+\cdots x^{n-1})$. Set $x=3^m$ to see that $3^{mn}-1 = (3^m-1)(1+3^m+3^{2m}+\cdots +3^{(n-1)m})$. Since $2$ divides $3^m-1$ this is a factorization of $P_n$ if $3^m-1>2$ and $1+3^m+\cdots+3^{(n-1)m}>1$, which is the case if $m>1$ and $n>1$, therefore $P_{mn}$ is composite if $m>1$ and $n>1$. We can conclude that $P_n$ can only be prime if $n$ is prime.
Given this note that $P_{2n}$ and $P_{5n}$ is composite if $2n$ and $5n$ is composite, which is the case when $n>1$. It only remains to check the case $n=1$, but $P_2=4=2*2$ is not a prime, and $P_5=121=11*11$, so $P_5$ is composite. Kind of interesting that both of $P_2$ and $P_5$ are squares.
Another interesting thing to note when checking primality of $P_q$ for $q$ a prime is that by Fermat's theorem any number dividing $P_q$ must be one more than a multiple of $q$, i.e. if $p|P_q$ then $p=kq+1$ for some integer $k$. Moreover, for odd primes $q$, $k$ would have to be even for $kq+1$ to be odd (since we are looking for an odd prime factor $p$). Therefore we only need to check $2kq+1$. For $q=5$ we have $P_5=121$ and the first primefactor we have to check is 11! $q=7$ gives $P_7=1093$. The smallest prime-factor $p$ of $P_7$ must satisfy $p<\sqrt{P_7}=33.1$, but $2*7+1=15$ is composite, so we only need to check if $4*7+1=29$ divides 1093, which it does not. For $P_{11}=88573$ we need to check divisors up to $\sqrt{P_{11}}=297$. Since we only need to check numbers of the form $22k+1$ it means that at most we will have to check 13 numbers, but in fact $88573=23*3851$, so it is composite.
I wrote a short program to look for prime $P_q$ numbers when $q$ is prime and found the following:
$$
\begin{array}{rr|l}
q & P_q & \text{prime or composite} \\ \hline
2 & 4 & 2|P_2\\
3 & 13 & \text{prime}\\
5 & 121 & 11|P_5\\
7 & 1,093 & \text{prime}\\
11 & 88,573 & 23|P_{11}\\
13 & 797,161 & \text{prime}\\
17 & 64,570,081 & 1,871 | P_{17}\\
19 & 581,130,733 & 1,597 | P_{19} \\
23 & 47,071,589,413 & 47 | P_{23}\\
29 & 34,315,188,682,441 & 59 | P_{29}\\
31 & 308,836,698,141,973 & 683 | P_{31} \\
37 & 225,141,952,945,498,681 & 13,097,927 | P_{37}\\
41 & 18,236,498,188,585,393,201 & 83 | P_{41}\\
43 & 164128483697268538813 & 431 | P_{43} \\
47 & 13294407179478751643893 & 1223 | P_{47}\\
53 & 9691622833840009948398361 & 107 | P_{53}\\
59 & 7065193045869367252382405533 & 14425532687 | P_{59}\\
61 & 63586737412824305271441649801 & 603901 | P_{61}\\
67 & 46354731573948918542880962705293 & 221101 | P_{67}\\
71 & 3754733257489862401973357979128773 & \text{prime}\\
73 & 33792599317408761617760221812158961 & 11243 | P_{73}\\
79 & 24634804902390987219347201701063882933 & 432853009 | P_{79}\\
83 & 1995419197093669964767123337786174517613 & 167 | P_{83}\\
89 & 1454660594681285404315232913246121223340241 & 179 | P_{89}\\
97 & 9544028161703913537712243143807801346335324481 & 76631 | P_{97}\\
101 & 773066281098016996554691694648431909053161283001 & 33034273 | P_{101} \\
\end{array}
$$
My program ran for a long time for $q=71$. It couldn't decide whether $P_{71}$ is prime.