Here's why:
* Abbreviations at the beginning of a sentence are treated like words. They should be capitalized just like any other word that begins a sentence.
* "p." stands for "page" and functions as a noun.
Example:
* P. 12 of the book discusses the history of the topic.
Note: In some cases, you might see "pp." used to refer to multiple pages. In this case, the abbreviation would also be capitalized at the beginning of a sentence.