All $p$ residue classes.

With $a^2 + 0^2$ we first obtain all quadratic residue classes.
Since not all residue classes are quadratic residues, there is a quadratic residue class $a^2$ that is followed by a quadratic non-residue class, so that $n = a^2 + 1$ is not a quadratic residue and therefore of course $n \neq 0 \pmod p$.
However, since the product of two quadratic non-residue classes is a quadratic residue class, it follows for each quadratic non-residue class $m$ that $m = nmn/n^2 = (a^2+1)c^2/n^2 \equiv (acn^{-1})^2 + (cn^{-1})^2 \pmod p$ and therefore all quadratic residue classes can also be represented as the sum of two squares.