  The $\Z_p\Z_{p^2}$-additive codes are subgroups of $\Z_p^{\alpha_1} \times
\Z_{p^2}^{\alpha_2}$, and can be seen as linear codes over $\Z_p$ when
$\alpha_2=0$, $\Z_{p^2}$-additive codes when $\alpha_1=0$, or
$\Z_2\Z_4$-additive codes when $p=2$. A $\Z_p\Z_{p^2}$-linear generalized
Hadamard (GH) code is a GH code over $\Z_p$ which is the Gray map image of a
$\Z_p\Z_{p^2}$-additive code. In this paper, we generalize some known results
for $\Z_p\Z_{p^2}$-linear GH codes with $p=2$ to any $p\geq 3$ prime when
$\alpha_1 \neq 0$. First, we give a recursive construction of
$\Z_p\Z_{p^2}$-additive GH codes of type $(\alpha_1,\alpha_2;t_1,t_2)$ with
$t_1,t_2\geq 1$. Then, we show for which types the corresponding
$\Z_p\Z_{p^2}$-linear GH codes are non-linear over $\Z_p$. Finally, according
to some computational results, we see that, unlike $\Z_4$-linear GH codes, when
$p\geq 3$ prime, the $\Z_{p^2}$-linear GH codes are not included in the family
of $\Z_p\Z_{p^2}$-linear GH codes with $\alpha_1\not =0$.
