Here are some results:
Claim One: If $2$ is a primitive root modulo $p$, then there do not exist $a$ and $b \ne a$ such that $a^n + b^n$ represents all non-zero residue classes modulo $p$. More precisely, if there exists such $a$ and $b$ then there is an odd prime $q$ such that $p \equiv 1 \bmod q$ and in addition $2 \equiv u^q \bmod p$ for some $u \bmod p$.
Artin's Conjecture (proved under GRH) says that $2$ is a primitive root for a positive proportion of primes $p$ (and certainly infinitely often). Hence this strongly suggests (and proves, assuming the General Riemann Hypothesis) the answer to both questions is no, there will not exist such $a$ and $b$ for large enough $p$. As a partial converse, however, we have:
Claim Two: If $p \equiv 1 \bmod 3$ and $2$ is a cube modulo $p$, then there does exist $a$ and $b \ne a$ such that $a^n + b^n$ represents all residue classes modulo $p$.
The relative density of primes $p$ satisfying this last condition is $1/6$ (that is, asymptotically a sixth of the primes satisfy this condition). These are also primes which can be written in the form $p = x^2 + 27 y^2$. So the summary seems to be that such $a$ and $b$ exist for a positive proportion of primes $p$ and also do not exist for a positive proportion of primes $p$.
Computationally, the primes $p < 500$ for which $a$ and $b$ exist are
$$31,43,109,127,157,223,229,277, 283, 307, 397, 433, 439, 457, 499, \ldots $$
and these are exactly the primes for which $p \equiv 1 \bmod 3$ and $2$ is a cube. I tried for some time to prove that this condition is necessary as well as sufficient but failed. But that is because it turns out not to be a necessary condition, if $p = 3251$, then $2 \equiv 40^5 \bmod 3251$ and $3251 \equiv 1 \bmod 5$. Note that $p \not\equiv 1 \bmod 3$. But
$$6^n + 190^n \bmod 3251$$
represents all non-zero congruence classes. So ultimately the density $\varrho$ of primes $p$ with this property (assuming GRH) is somewhere (certainly strictly) in the range:
$$0.16666 \ldots = 1/6 \le \varrho \le 1 - \prod_{p > 2} \left(1 - \frac{1}{p(p-1)}\right) = 0.25208 \ldots $$
Proof of Claim One: Here are the arguments. By Fermat's Little Theorem, $a^n + b^n \bmod p$ has period (dividing) $p-1$,
so if it generates all non-zero residues it generates exactly those residues exactly once. Write $b = ac$. Since $a^n (1 + c^n)$ can never equal $0$, it follows that $c^n$ can never equal $-1$, which means that $c$ has odd order. If follows that $c$ is a quadratic residue. Hence $a$ is not a quadratic residue since otherwise the period of $a^n + b^n$ would divide $p-1$. Thus $a^{(p-1)/2} \equiv -1 \bmod p$. By Wilson's theorem we have
$$-1 \equiv (p-1)! \equiv \prod_{i=1}^{p-1} i,$$
and thus
$$-1 \equiv \prod_{n=0}^{p-2} (a^n + b^n)
= \prod_{n=0}^{p-2} a^n \prod_{n=0}^{p-2} (1 + c^n) = (a^{(p-1)/2})^{p-2} \prod_{n=0}^{p-2} (1 + c^n).$$
Here the first equality comes from the fact that as $n$ ranges over this set the numbers $a^n+b^n$ are just the integers from $1$ to $p-1$ modulo $p$ albeit in a different order. Since we have already shown that $a$ is not a quadratic residue, the power of $a$ is equal to $-1$, so we deduce that
$$1 \equiv \prod_{n=0}^{p-2} (1 + c^n).$$
Now suppose that the order of $c$ is $d$ (which we know is odd), with $(p-1) = de$. Then the product above repeats $e$ times, and we get
$$1 \equiv \left( \prod_{n=0}^{d-1} (1 + c^n) \right)^e.$$
Let's evaluate the interior product. Since $c$ has order exactly $d$, we have a factorization
$$X^d - 1 = \prod_{n=0}^{d-1} (X - c^n).$$
Thus we have (using that $d$ is odd several times)
$$\prod_{i=0}^{d-1} (1 + c^i) = (-1)^d \prod_{i=0}^{d-1} (-1 - c^i) = - \lim_{X \rightarrow -1} \prod_{i=0}^{d-1} (X - c^i)$$
$$ = - \lim_{X \rightarrow -1} (X^d - 1) = - ((-1)^d - 1) = 2.$$
So putting this together, we deduce that
$$2^e \equiv 1 \bmod p$$
where $c$ has order $d$ and $p-1 = de$. It follows that $2$ is a $d$th power modulo $p$. Remember that $d > 1$ is some odd divisor of $p-1$, so there is certainly an odd prime $q > 1$ dividing $d$ and $2$ is a perfect $q$th power and $p \equiv 1 \bmod p$. In particular, this proves that $2$ is not a primitive root modulo $p$.
Proof of Claim Two: Now let's move on to the second claim, so assume that $p \equiv 1 \bmod 3$ and $2$ is a cubic residue modulo $p$. Note that these are primes which split completely in $\mathbf{Q}(\sqrt[3]{2},\sqrt{-3})$, so the $1/6$ density claim follows from the Cebotarev density theorem.
Some preliminaries. Suppose that $\omega^3 = 1$ but $\omega \ne 1$. Then $\omega^2 + \omega + 1 = 0$, and $\omega^{2n} + \omega^n + 1 = 0$ for $(3,n) = 1$. In particular, if $(3,n) = 1$, then
$$1 + \omega^n = - \omega^{2n}, \quad \frac{1}{1 + \omega^n} = - \omega^n.$$
Now let us begin the construction. Let $\varepsilon$ be a primitive root modulo $p$. Let $\omega$ be an element which satisfies $\omega^3 = 1$ but $\omega \ne 1$. This exists because $p \equiv 1 \bmod 3$. We choose $\omega$ to satisfy one further property, namely that
$$\varepsilon/\omega \ \text{is not a cube modulo $p$}.$$
We can always achieve this; if $p \equiv 1 \bmod 9$ then $\omega$ is a cube so this is automatic. If $p - 1$ is exactly divisible by $3$, then $\omega$ is not a cube, so either $\varepsilon/\omega$ or $\varepsilon/\omega^2$ is not a cube, and in the latter case simply replace $\omega$ by $\omega^2$.
Now let $a = \varepsilon$ and $b = \varepsilon \omega$. Note that $a^n + b^n = a^n (1 + \omega^n)$, since $1 + \omega^n \in \{-\omega, - \omega^2, 2\}$ this sum never vanishes. So it suffices to show that $a^n + b^n$ and $a^m + b^m$ are distinct if $0 \le n,m < p-1$ and $n \ne m$. If $a^n + b^n = a^m + b^m$, it follows that
$$\varepsilon^n (1 + \omega^n) = \varepsilon^m (1 + \omega^m), \quad
\text{or} \quad \varepsilon^{n-m} = \frac{1 + \omega^m}{1 + \omega^n}.$$
We consider various cases depending on $m$ and $n$ modulo $3$. Note there is symmetry
in $m$ and $n$ so we need not consider all cases.
Suppose that $m \equiv n \bmod 3$. Then $1+\omega^n = 1 + \omega^m$, and we deduce that $\varepsilon^{m-n} = 1$ which implies that $m=n$ because $\varepsilon$ is a primitive element.
Suppose that $3|m$ but $(3,n)=1$. Then
$$\varepsilon^{n-m} = - 2 \omega^n.$$
Since $-1$ is always a cube and $2$ is a cube by the assumption on $p$, and $\varepsilon^m$ is certainly a cube because $3|m$, we deduce that $\varepsilon^n/\omega^n$ is a cube, which since $(3,n)=1$ implies that $\varepsilon/\omega$ is a cube, contradicting the choice of $\omega$.
- Suppose that $m \equiv 1 \bmod 3$ and $n \equiv 2 \bmod 3$. Then
$$\varepsilon^{n-m} = \frac{1 + \omega}{1 + \omega^2} = \omega,$$
and now since $\varepsilon^{n-m-1}$ is a cube, we again deduce that $\varepsilon/\omega$ is a cube, a contradiction.
If you assume that $p \equiv 1 \bmod 5$ and $(2/p)_5 = 1$, you can try something similar, taking $a$ to be a primitive root and $b=ac$ with $c = \zeta$ some carefully chosen $5$th root of unity. This generally doesn't work, because now the ratios
$$\frac{1 + \zeta^i}{1 + \zeta^j}$$
don't simplify and you don't have much control of their $5$th power residue symbols. But you can impose some conditions on the images of these elements in $\mathbf{F}^{\times}_p/\mathbf{F}^{\times 5}_p$ for things to work. And it does work for $p=3251$, the example $a=6$ and $b =190$ has $c = b/a = 2199 \bmod p$ with $c^5 \equiv 1 \bmod p$. For more general $p$, you can impose some conditions on the $5$th power residue symbols of the ratios $(1 + \zeta^i)/(1 + \zeta^j)$ for this to work, and this example shows those conditions will sometimes (but not always) be satisfied.
Added, May 30: You ask about the case $a^n + 2 b^n$. That is quite similar, although there are more primes $p$ for which this works. Here are some more comments.
If $c = b/a = - 1$, you are in good shape if either $3$ is a quadratic residue or $3$ is not a quadratic residue but $-1$ is also not a quadratic residue. So this covers the case
$$p \equiv 1,7,11 \bmod 12,$$
but leaves open $p \equiv 5 \mod 12$. But again in this case one does not expect to cover all cases. As before,
$$-1 = \prod (a^n + 2 b^n) = a^{(p-1)/2} \prod_{n=0}^{p-2} (1 + c^n),$$
and assuming that $c$ has order exactly $d$ with $de = p - 1$, you can show as above that:
$$-1 = a^{(p-1)/2} \left(1 - (-2)^d\right)^e \bmod p$$
Now suppose that $p = 4q+1$ is a prime such that $q \equiv 7 \bmod 30$, so $p \equiv 29 \bmod 120$ and in particular $p \equiv 5 \mod 12$ and $p \equiv 5 \bmod 8$ and $p \equiv -1 \bmod 5$. Standard conjectures say that there should be infinitely many primes of this form where $q$ is also prime; the first example is $p = 29$ and $q = 7$.
Claim: for $p = 4q+1$ prime with $q \equiv 7 \bmod 30$ prime, there are no $a$ and $b$ such that $a^n + 2 b^n$ cover all non-zero congruence classes. Standard conjectures imply that there are infinitely many such primes.
Proof: For such primes, the possible order of $c$ is $1$, $2$, $4$, $q$, $2q$, or $4q$. Let's consider each case in turn:
- If $c$ has order $1$ then $c=1$ (which is not allowed).
- If $c$ has order $2$ then $c=-1$, and this was considered above, and doesn't work when $p \equiv 5 \mod 12$.
- If $c$ has order $4$, then $d = 4$, so $1 - (-2)^d = -15$. We get $e = (p-1)/4$, and so
$$- 1 = \pm 1 \cdot 15^{(p-1)/4} \bmod p,$$
or squaring both sides
$$1 = 15^{(p-1)/2} \bmod p.$$
But the congruences on $p$ imply that $15$ is not a quadratic residue modulo $p$, so $15^{(p-1)/2} \equiv -1 \bmod p$ and this is a contradiction.
- Suppose that $c$ has order $q$. Since $q \equiv 5 \mod 8$, $-2$ is not a quadratic residue. That implies that if $d = (p-1)/4$ and $e=4$ then $2^d$ is a $4$th root of unity $i$. We deduce that
$$-1 = \pm 1 \cdot (1 + i)^4 \equiv \pm 4 \bmod p,$$
which is not possible.
- Suppose that $c$ has order $q$. Since $q \equiv 5 \mod 8$, $-2$ is not a quadratic residue. That implies that if $d = (p-1)/2$ and $e=2$ then $2^d$ is a $2$th root of unity $-1$. We deduce that
$$-1 = \pm 1 \cdot (1 -1)^2 \equiv \pm 4 \bmod p,$$
which is not possible again.
- Suppose that $c$ is a primitive root; then some power of $c$ is $-2$ and the expression vanishes.
Since this covers all cases, this completes the proof!