[guided]The singularity is entirely in the normal coordinate $z_n$. We separate the tangential variables from this normal variable. Define
\begin{align*}
Q_\rho := \{z' \in \mathbb{C}^{n-1} : |z_j-p_j|<\rho \text{ for } 1 \leq j \leq n-1\}
\end{align*}
when $n\geq 2$. When $n=1$, there are no tangential variables, and we take $Q_\rho$ to be a one-point space with measure $1$. Then
\begin{align*}
P_\rho = Q_\rho \times \{w \in \mathbb{C}: |w|<\rho\},
\end{align*}
where $w=z_n$.
The function $(z',w)\mapsto |w|^{-2}$ is nonnegative and measurable, so Tonelli's theorem applies to the product measure decomposition of Lebesgue measure on the product polydisc. Thus
\begin{align*}
\int_{P_\rho} |z_n|^{-2}\, d\mathcal{L}^{2n}(z)
=
\mathcal{L}^{2n-2}(Q_\rho)
\int_{\{w \in \mathbb{C}: |w|<\rho\}} |w|^{-2}\, d\mathcal{L}^2(w),
\end{align*}
where $\mathcal{L}^{0}(Q_\rho)=1$ in the case $n=1$. The tangential factor has positive finite measure because $Q_\rho$ is a nonempty product of open discs when $n\geq 2$, and by convention it has measure $1$ when $n=1$.
It remains to compute the one-dimensional complex integral. We use polar coordinates in $\mathbb{C}\cong\mathbb{R}^2$: write $w=re^{i\theta}$, where $0<r<\rho$ and $0\leq \theta<2\pi$. Under this substitution, two-dimensional Lebesgue measure transforms as
\begin{align*}
d\mathcal{L}^2(w)=r\, d\mathcal{L}^1(r)\, d\mathcal{L}^1(\theta).
\end{align*}
Therefore
\begin{align*}
\int_{\{w \in \mathbb{C}: |w|<\rho\}} |w|^{-2}\, d\mathcal{L}^2(w)
&=
\int_0^{2\pi}\int_0^\rho r^{-2} r\, d\mathcal{L}^1(r)\, d\mathcal{L}^1(\theta) \\
&=
\int_0^{2\pi}\int_0^\rho r^{-1}\, d\mathcal{L}^1(r)\, d\mathcal{L}^1(\theta).
\end{align*}
For every $\varepsilon \in (0,\rho)$,
\begin{align*}
\int_\varepsilon^\rho r^{-1}\, d\mathcal{L}^1(r)
=
\log \rho-\log \varepsilon,
\end{align*}
and this tends to $+\infty$ as $\varepsilon \downarrow 0$. Hence
\begin{align*}
\int_{\{w \in \mathbb{C}: |w|<\rho\}} |w|^{-2}\, d\mathcal{L}^2(w)=+\infty.
\end{align*}
Multiplying by the positive tangential measure gives
\begin{align*}
\int_{P_\rho} |z_n|^{-2}\, d\mathcal{L}^{2n}(z)=+\infty.
\end{align*}[/guided]