Using the same notation, let $H$ be the intersection by extending $AF$ and $DG$. Let the coordinate of $P$ to be $(1+p, 1)$.

It is easy to see that $HFPG$ are concyclic because $\angle F = \angle G = 90^\circ$, and $PH$ is the diameter of the circle, regardless of whether $H$ is between $A$ and $F$. It is left to be proven that $E$ lies on the same circle with $F,P$ and $G$.
The slope of $BP$ is $\frac1{1+p}$, hence the line $AH$ can be written as $$y=1-(1+p)x$$
Similarly, the slope of $CP$ is $-\frac1{1-p}$, hence the line $DH$ can be written as $$y = 1+(1-p)(x-2)$$
Solving for $H$,
$$\begin{align*}
1-(1+p)x &= 1+(1-p)(x-2)\\
-(1+p)x &= (1-p)x-2(1-p)\\
x &= 1-p\\
y &= p^2
\end{align*}$$
If $p=0$, then $H$ is the same as $E$. Otherwise, consider the slopes of $HE$ and $PE$,
$$m_{HE} = \frac{p^2}{(1-p)-1} = -p\\
m_{PE} = \frac{1}{(1+p)-1} = \frac{1}{p}\\
m_{HE} \cdot m_{pe} = -1$$
Hence $HE\perp PE$ and $\angle HEP = 90^\circ$. So $E$ also falls on the circle with diameter $PH$, together with $F$ and $G$.