The question is about determining the number of solutions to
$\,y^2=x^3-x\pmod{p}\,$ for a prime $\,p.\,$ This
is equivalent to the number of points on the elliptic
curve $\,y^2 = x^3 - x\,$ over the finite field with
$\,p\,$ elements. This elliptic curve is listed as
LMFDB label 32.a3.
The number of points are the OEIS sequence
A276730 which is for the
elliptic curve $\,y^2 = x^3 + 4x\,$ which is listed as
LMFDB label 32.a4 but both curves have the same associated
modular form listed as
LMFDB newform 32.2.a.a whose
$q$-expansion is
$$ \eta(4z)^2\eta(8z)^2 = q\prod_{n=1}^\infty
(1-q^{4n})^2(1-q^{8n})^2 $$ which is listed as
OEIS sequence A138515.
The criteria is given in OEIS sequence A279392
Bisection of primes congruent to 1 modulo 4 (A002144), depending on the corresponding sum of the A002972 and 2*A002973 entries being congruent to 1 modulo 4 or not.
Your observation
Calculations suggest that the number of solutions to this equation is $p$ if $p\equiv 3\pmod{4}$ and the number of solutions is $p-2a$ where $p=a^2+b^2$ and $a\equiv 1\pmod{2}$ if $p\equiv 1\pmod{4}$.
is almost correct except the sign of $\,a\,$ in $\,p=a^2+b^2\,$ depends on if $\,a+b=4k+1\,$ or not (note that the sign of $\,b\,$ does not
matter since it is even and $\,b\equiv -b\pmod{4}$).
For example, if
$\,p=5=1^2+2^2\,$ the number of solutions is
$\,7=5+2\cdot 1\,$ since $\,1+2\equiv 3\pmod{4}\,$
while if $\,p=13=3^2+2^2\,$ the number of
solutions is also $\,7=13-2\cdot 3\,$ since
$\,3+2\equiv 1\pmod{4}.\,$
Your question
How do you prove this conjecture?
is answered by the general theory of elliptic curves. As
far as I know there is no easy proof, however
in OEIS sequence A095978 is a reference to a
theorem in J. H. Silverman, A Friendly Introduction to Number Theory, which you may
be able to understand.
The MSE question Number of points on the elliptic curve $y^2 = x^3 - x$ over $\mathbb{F}_q$ has information about
possible proofs.