I am trying to show that
$$ \left(\sqrt{1-p}-\sqrt{1-q}\right)^2+\left(\sqrt{p}-\sqrt{q}\right)^2\leq \left(\frac{1}{p}+\frac{1}{1-p}\right) (p-q)^2 $$ for $0<p<1, 0<q<1$.
If you check this in Mathematica, it simply says this is True. But I cannot think any well-known inequality to apply here.