We can only know what happened on P-Day from people who saw everything, because it did not happen at Japan, were everbody has a camera. The fact that those eyewittnesses lived in China, makes it very difficult, because they all suffer from the strange illness that makes them speak Chinese. The few things that researchers did understand whilst talking to these Chinese people are that strange P-shaped objects were flying through the air. That's about all they could understand.
Did it really happen?
The events that occured on P-Day were never proven. In an episode of The X-Files, Scully and Mulder tried to find a solution, but they also had to stop their research because of the Chinese speaking illness the people in South China have.
The "P" in "P-Day" is not in any way related to the letter known as p. Nor is it related to another letter. When something is P-shaped it means that it has the shape of pees. The reason why it is called P-Day and not Pee-Day remains a mystery.
The reason is very simple: since Chinese people don't know pees, they called the starnge objects spheres. The Chinese word for sphere is "ping pong", and it is written in Chinese as "P". Western people who did research in the area thought they meant "P" (the letter from the Western alphabet). They also thought that you cannot call a day Ping Pong-Day, so they called it P-Day.