Let $(x_1, y_1)$ be a point of tangency on the parabola $y^2 = 2 p x $, then
$ x_1 = \dfrac{ y_1^{2}}{2p} $
So the point of tangency is $\left( \dfrac{y_1^2}{2p}, y_1 \right) $. By implicit differentation, $ 2 y \dfrac{dy}{dx} = 2 p $, so the slope at the point of tangency is
$$m = \dfrac{dy}{dx} = \dfrac{p}{y_1} $$
Since the tangent passes through the point on the locus $(x, y)$ then
$ y - y_1 = \dfrac{p}{y_1} \bigg(x - \dfrac{y_1^2}{2p}\bigg) $
Cross multiply,
$ y_1 (y - y_1) = p x - \dfrac{1}{2} y_1^2 $
Re-arrange,
$ \dfrac{1}{2} y_1^2 - y_1 y + p x = 0 $
So the solutions are
$ y_1 = y \pm \sqrt{ y^2 - 2 p x } $
Let
$ y_1^+ = y + \sqrt{y^2 - 2 p x} $
$y_1^- = y - \sqrt{y^2 - 2 p x} $
And let the slopes at these two points be $m_1 = \tan(\theta_1) = \dfrac{p}{y_1^+} $ and $m_2 = \tan(\theta_2) = \dfrac{p}{y_1^-} $, then
$45^\circ = \theta_1 - \theta_2 $
So that,
$ \tan 45^\circ = 1 = \tan(\theta_1 - \theta_2) = \dfrac{m_1 - m_2}{1 +m_1m_2} $
From which
$ 1 + m_1 m_2 = m_1 - m_2 $
Hence,
$ 1 + \dfrac{p^2}{y_1^+ y_1^-} = p \bigg( \dfrac{1}{y_1^+} - \dfrac{1}{y_1^-} \bigg)$
So
$ y_1^+ y_1^- + p^2 = p (y_1^- - y_1^+)$
And this gives us
$ y^2 - (y^2 - 2 p x) + p^2 = p ( - 2 \sqrt{ y^2 - 2 p x } )$
This simplifies to
$ 2 x + p = - 2 \sqrt{y^2 - 2 p x} $
(This means that we must have $ x \lt -\dfrac{p}{2} $)
Square both sides,
$ 4 x^2 + 4 x p + p^2 = 4 (y^2 - 2 p x) $
Re-arrange,
$ 4 x^2 + 12 x p + p^2 - 4 y^2 = 0 $
Divide through by $4$,
$ x^2 + 3 x p + \dfrac{p^2}{4} - y^2 = 0 $
Complete the square in $x$,
$ \bigg( x + \dfrac{ 3 p }{2} \bigg)^2 - \dfrac{9 p^2}{4} + \dfrac{p^2}{4} - y^2 = 0 $
which finally gives us,
$ \bigg( x + \dfrac{ 3 p }{2} \bigg)^2 - y^2 = 2 p^2 $