This is neither concave nor convex function.
For example- take $p=0.5, \: \theta=0.5, \: n=2 $ and check for the convex combination of the function for the two points $\bar{x}= (x_1,x_2)=(1,0)$ and $\bar{y}= (y_1,y_2)= (0,1)$ $$ f(x)= \sum_{i=1}^{2} (\left | x_i \right |^{0.5})^{^2}=(\left | x_1 \right |^{0.5}+\left | x_2 \right |^{0.5})^{^{2}} $$
Let's take $\theta= 0.5,$
$$ f(\theta \bar{x}+ (1-\theta) \bar{y})= f(\frac{1}{2}(\bar{x}+\bar{y}))=f(\frac{1}{2},\frac{1}{2})= 2\\ \theta f(\bar{x})+(1-\theta)f(\bar{y})= \frac{1}{2}(1)+\frac{1}{2}(1)= 1 \\$$
Here, $$f(\theta \bar{x}+ (1-\theta) \bar{y})>\theta f(\bar{x})+ (1-\theta) f(\bar{y})
$$
Hence, not convex.
Similarly, if we check for $\bar{x}= (x_1,x_2)=(-1,0)$ and $\bar{y}= (y_1,y_2)= (1,0)$,
we get $$f(\theta \bar{x}+ (1-\theta) \bar{y})=f(0,0)=0\\
\theta f(\bar{x})+ (1-\theta) f(\bar{y})= \frac{1}{2}(1+1)=1
$$
Here, $$f(\theta \bar{x}+ (1-\theta) \bar{y})<\theta f(\bar{x})+ (1-\theta) f(\bar{y})
$$
Hence, not concave.