This is not a solution, but it's too long for a comment.
As I wrote in the comment above, if $n$ is composite, then the statement is easily proved. Write $n=x \cdot y$ and pick $(a,b)=(x, xy-x)$. Since $$a^2+b^2=x^2(1+(y+1)^2)$$
is divisible by $x^2$, it's not a prime.
This reduces the study of this problem to primes $n \ge 7$.
This is equivalent to the following:
$$\exists a \in \left\{ 1, \dots , \frac{n-1}{2} \right\}: \ a^2+(n-a)^2 \mbox{ is composite}$$
Now, for all $a \in \left\{ 1, \dots , \frac{n-1}{2} \right\}$, call $$s=n-2a$$
Note that $s$ is odd and that $s \in \left\{ 1, 3, 5, \dots , n-2 \right\}$. Then
$$\frac{n^2+s^2}{2} = \frac{2n^2-4an+4a^2}{2} = n^2-2an+2a^2 = a^2+(n-a)^2$$
which is composite for a suitable option for $s$.
Hence your conjecture is equivalent to the following:
For all primes $n \ge 7$ there exists an odd integer $s \in \{ 1, \dots , n-2\}$ such that $\frac{n^2+s^2}{2}$ is composite.