Let's call $a_n$ the $n$-th term of the series. Then $a_n>0$ if $n$ is even, and $a_n<0$ if $n$ is odd. Clearly $\lim_{n\to\infty}|a_n|=0$. If $p=1$ it is easy to see that $a_n$ is non-increasing. By Leibniz's test, the series converges in this case. However if $0<p<1$, then $|a_{2n}|<|a_{2n+1}|$ and Leibniz's test cannot be applied.
We try a different approach.
Claim. For each $p\in(0,1)$ there exists a constant $C_p>0$ such that
$$
C_p\,\frac{(-1)^n}{(n+1)^p}\le a_n\le\frac{(-1)^n}{n^p},\qquad n\ge2.\tag{1}
$$
Proof. The right hand side of the inequality holds because $\ln(1+x)\le x$ for all $x>-1$.
A) $n=2\,k$ even. The function
$$
f(x)=(x+1)^p\ln(1+x^{-p})
$$
is continuous on $(0,\infty)$, $f(x)>0$, $\lim_{x\to0^+}f(x)=+\infty$, $\lim_{x\to+\infty}f(x)=1$. In particular
$$
A_p=\inf_{x\ge2}f(x)>0.
$$
Then, letting $x=2\,k$ we get
$$
A_p\le(1+2\,k)^p\ln\Bigl(1+\frac{1}{(2\,k)^p}\Bigr),\qquad k\ge1.
$$
B) $n=2\,k+1$ odd. The function
$$
g(x)=(x+1)^p\ln(1-x^{-p})
$$
is continuous and increasing on $(0,\infty)$. Let $B_p=-g(3)>0$. Then $g(x)\ge -B_p$ for all $x\ge3$. Letting $x=2\,k+1$ we get
$$
B_p\le(2\,k+2)^p\ln\Bigl(1-\frac{1}{(2\,k+1)^p}\Bigr),\qquad k\ge1.
$$
Taking $C_p=\min(A_p,B_p)$ gives (1).
The series
$$
\sum\frac{(-1)^n}{n^p},\qquad \sum\frac{(-1)^n}{(n+1)^p}
$$
are both convergent by Leibniz's test. The generalized comparison theorem proves that $\sum a_n$ is also convergent.