I don't have an actual answer for you, but I'll give you some possibly helpful buzzwords to try to google your way to an answer: stable random vectors. As I understand it (at least in the case p=2$p=2$), the existence of 1-stable random vectors is essentially the positive definiteness of exp(-||x||)$\exp(-\|x\|)$. So you want to know if a 1$1$-stable random vector in R^n$\Bbb R^n$ has a strictly positive density. There are probably probabilists who know this, but I'm not one of them and don't have the time to hunt it down right now.