Suppose $a$ and $b$ are integers. I that case euclid formulas hold:
$$
\begin{align}
a &= m^2-n^2 \\
b &= 2mn \\
c &= m^2+n^2
\end{align}
$$
where $m,n$ are positive integers.
Now use the following Fermat theorem (have a look at Arturo's answer):
Theorem (Fermat) Let $n$ be a positive integer, and write $n$ in the form $$n = 2^{\alpha}\prod_{p\equiv 1\pmod{4}} p^{\beta} \prod_{q\equiv 3 \pmod{4}} q^{\gamma}.$$
with $p$ and $q$ primes. Then $n$ can be expressed as a sum of two squares if and only if all the exponents $\gamma$ are even.
Since you are looking for only primes then it becomes $n = p$ such that $p \equiv 3 \pmod 4$.
Look for primes that can be written as $n = 4k + 3$ with $n$ integer.