I don't think that $p$ being prime makes any difference. The later thoughts below suggest a Lagrange interpolation method which is perhaps the same as the resultant method mentioned by Abdelmalek Abdesselam.
Let $f(x)=\sum_{j=0}^nc_jx^j. $ One might require $c_n=1$ or $c_0=1$ but it is perhaps nicer not to. Then setting $u=x^n,$ $\prod_{i=0}^{n-1} f(\omega^ix)=F(u)=\sum_{j=0}^nC_j u^j$.
One can say that
- $C_j$ is a polynomial of degree $n$ in the coefficients $c_0,\cdots,c_n$ where each term has total degree $n$
- $C_j$ has a term $\pm(c_j)^n$ and no term $c_j^{n-1}$.
- $C_{n-j}$ is $C_j$ with $c_k$ replaced by $c_{n-k}$
- the roots of $F$ are the $n$th powers of the roots of $f$.
Here $c_n$ is a constant and the other $c_i$ are symmetric polynomials of the $n$ roots $\alpha_i$ of $f$. The $\alpha_i$ can be thought of as formal variables. Then $c_0,\cdots,c_{n-1}$ are also a basis for the ring of all symmetric polynomials in those variables ($\frac{1}{c_n}$ times a usual basis) . There are other bases for this ring such as $\sigma_k=\sum_{i=1}^n\alpha_i^k$ and the sum of all the terms $\alpha_1^{m_1}\cdots\alpha_n^{m_n}$ with $m_1+\cdots+m_n=k$. Transforming between these bases (more generally, expressing a given symmetric polynomial in terms of them) is a major topic of invariant theory.
In this case, we want to express the $C_i$, which are certain symmetric polynomials in the $\alpha_i^n,$ in terms of the values $c_i$. This must be a well known case. At any rate here are some results:
For $n=4,$
$$C_0=c_0^4$$
$$C_1=(4c_0^3c_4-2c_0^2c_2^2)-(4c_0^2c_3)c_1+(4c_0c_2)c_1^2-c_1^4$$
$$C_2=(6c_0^2c_4^2-8c_0c_1c_3c_4+2c_1^2c_3^2)+(4c_0c_3^2+4c_1^2c_4)c_2-(4c_0c_4+4c_1c_3)c_2^2+c_2^4$$
$$C_3=(4c_4^3c_0-2c_4^2c_2^2)-(4c_4^2c_1)c_3+4(c_4c_2)c_3^2-c_3^4$$
$$C_4=c_4^4$$
while for $n=5$ we have the following (with the others obtainable by symmetry)
$$C_0=c_0^5$$
$$C_1=5c_0^4c_5-(5c_0^3c_4-5c_0^2c_2^2)c_1+(5c_0^2c_3)c_1^2-5c_0^3c_2c_3-(5c_0c_2)c_1^3+c_1^5$$
$${\small C_2=(10c_0^3c_5^2-15c_0^2c_1c_4c_5+5c_0c_1^2c_4^2+5c_0^2c_3^2c_4+10c_0c_1^2c_3c_5-5c_0c_1c_3^3-5c_1^3c_3c_4)}$$ $${ \small+(5c_0^2c_4^2-15c_0^2c_3c_5+5c_1^2c_3^2-5c_0c_1c_3c_4-5c_1^3c_5)c_2}$$ $${\small +(5c_1^2c_4+10c_0c_1c_5+5c_0c_3^2)c_2^2-(5c_0c_4+5c_1c_3)c_2^3+c_2^5}$$
later thoughts In general one could consider the problem of producing from a polynomial $f(x)=\sum_{j=0}^nc_jx^j$ a polynomial $F(u)=\sum_{j=0}^nC_j u^j$ whose roots are the $m$th powers $\alpha_i^m$ of the $n$ (unknown) roots of $f$. The solution is the polynomial $\prod_{i=0}^{m-1} f(\tau^ix)$ where now $\tau$ is a primitive $m$th root of unity. This process might spread out the roots. In the case $m=2$ one has (with $ q$ repeated application) $\alpha_i^{2^q}$ and the Dandelin–Graeffe method for finding the roots of a univariate polynomial. Splitting $f$ into its even and odd parts speeds up the computation. The method was also discovered by Nikolai Ivanovich Lobachevsky and the linked article suggests that his book Algebra ili Ichislenie Konechnykh Velichin discussed the general product $\prod_{i=0}^{m-1} f(\omega^ix)$. Perhaps the appropriate manipulations of symmetric polynomials are discussed there.
Since a polynomial of degree $n$ is determined by its values at $n$ points (plus its leading coeffcient) one has the following method (which I doubt is new):
Let $\zeta$ be a primitive $mn$th root of unity and $\omega$ a primitive $m$th root of unity. Then the desired polynomial $F$ satisfies $F(\zeta^j)=f(\omega^j)$ for $0 \le j \le n-1$. Now Lagrange Interpolation can be used. In this case it might be particularly simple.