Let $x = a + (b-a)t$. Then $I(p) = \int_0^1 \dfrac{(a+(b-a)t)^p}{\sqrt{t(1-t)}} dt$ We have that $\int_0^1 \dfrac{t^k dt}{\sqrt{t(1-t)}} = \sqrt{\pi} \dfrac{\Gamma(k+1/2)}{\Gamma(k+1)}$ The above simplification is possible due to the following reason. Recall that the $\beta$ function is defined as $\beta(x,y) = \int_0^1 t^{x-1} (1-t)^{y-1} dt$ The $\beta$-function is closely related to the $\Gamma$ function through the relation $\beta(x,y) = \dfrac{\Gamma(x) \Gamma(y)}{\Gamma(x+y)}.$ The proof for the above claim can be seen here.
Hence, we get that $\int_0^1 \dfrac{t^k dt}{\sqrt{t(1-t)}} = \int_0^1 t^{k-1/2} (1-t)^{-1/2} dt = \int_0^1 t^{(k+1/2)-1} (1-t)^{1/2-1} dt\\ = \beta(k+1/2,1/2) = \dfrac{\Gamma(k+1/2) \Gamma(1/2)}{\Gamma(k+1)} = \sqrt{\pi} \dfrac{\Gamma(k+1/2)}{\Gamma(k+1)}$ Further, $\Gamma(1/2) = \sqrt{\pi}$ You can look up here for some particular values of the $\Gamma$ function. $\Gamma(k+1/2) = \dfrac{(2k-1)(2k-3)\cdots 1}{2^k} \sqrt{\pi} \text{ where } k \in \mathbb{Z}^+$ The above is so since $\Gamma(z+1) = z \Gamma(z)$ and $\Gamma(1/2) = \sqrt{\pi}$. $\Gamma(k+1) = k! \text{ where } k \in \mathbb{Z}^+$ $\dfrac{\Gamma(k+1/2)}{\Gamma(k+1)} = \dfrac{(2k-1)(2k-3)\cdots 1}{2^k k!} \sqrt{\pi} = \dfrac1{4^k} \binom{2k}{k} \sqrt{\pi}$
Hence, $I(p) = \int_0^1 \sum_{k=0}^{p} \binom{p}{k} a^{p-k}(b-a)^{k} \dfrac{t^{k}}{\sqrt{t(1-t)}} dt\\ = \displaystyle \sum_{k=0}^{p} \left(\binom{p}{k} a^{p-k}(b-a)^{k} \int_0^1 \dfrac{t^{k}}{\sqrt{t(1-t)}} dt \right)\\ = \pi \times \left( \sum_{k=0}^{p} \left( \binom{p}{k}\binom{2k}{k} \dfrac{a^{p-k}(b-a)^{k}}{4^k} \right) \right)$
We have that $I(0) = \pi$ $I(1) = \dfrac{a+b}{2} \pi$ $I(2) = \dfrac{3a^2+2ab+3b^2}{8} \pi$ $I(3) = \dfrac{5a^3+3a^2b+3ab^2+5b^3}{16} \pi$
I am not sure if you can simplify this further in terms of elementary functions.