I did not say for any given (a,b) there surely exits (m,n)
I said " If " p is even and " if " p = a^2 + b^2 = m^2 + n^2 , then what is the relation between a,b,m,n other than p = a^2 + b^2 = m^2 + n^2 equation.
The question has sense only if you specify that a, b, m, and n are all integers. Otherwise, the problem is trivial; there is an infinity of solutions for every even p.
Regards