I would appericate if anyone could take a look at my attempt:
Suppose and aim for contradiction that it's a normal extension. The minimal polynomial of $\alpha = \sqrt {2+\sqrt p}$ over $\mathbb Q$ is $f(x)=x^4-4x^2+(4-p)$. Its roots are $\alpha, -\alpha, \beta, -\beta$, where $\beta = \sqrt {2-\sqrt p}$ . Since it's a normal extension, $\beta \in \mathbb Q (\alpha)$. But then $\alpha \beta =\sqrt{4-p} \in \mathbb Q (\alpha)$. Since $p>4$, $4-p<0$, thus $\sqrt{4-p}=i\sqrt{p-4}$ . But since $\mathbb Q (\alpha) \subseteq \mathbb R$, we get that $i\sqrt{p-4} \in \mathbb R \Rightarrow i \in \mathbb R$, a contradiction. So it's not a normal extension, hence not Galois.
Edit: I should probably say that since $p$ is prime, $\sqrt p \notin \mathbb Q$.