I upgraded Magento 2.3.4 to 2.3.5. But Magento site https://magento.com/tech-resources/download is available version 2.3.5-p1? Something different with versions 2.3.5 and 2.3.5-p1? I want to know that is there any difference between both versions which one I need to update on the store ?
The p1 suffix denotes the full release for the quarterly update and contains further fixes to a unique error. Generally if you're not experiencing errors I don't think you need to upgrade to p1, though I would take a look at p2 as this update is security related;
A while ago Magento changed their release process to include security-only releases (https://community.magento.com/t5/Magento-DevBlog/Introducing-the-New-Security-only-Patch-Release/ba-p/141287?_ga=2.215616274.442714052.1591948834-51687988.1567676784). The version
2.3.5-p1 should be one such release.
For security issues, these are highlighted on the Adobe Security Bulletin and it seems for this patch we are looking at https://helpx.adobe.com/security/products/magento/apsb20-22.html and you can see the vulnerability details at https://helpx.adobe.com/security/products/magento/apsb20-22.html#Vulnerabilitydetails
Using github you can do a compare of the two tags
With this overview you can see that there is only one commit difference between the two versions (https://github.com/magento/magento2/commit/13c18d0b3f2e3fa53b317db5452eaab3d28dbeca).