Hello, I am afraid your problem is next to impossible.
Here is a remark, which is unfortunately essentially useless, as you do not integrate over theta.
Your integrand
exp = (r Sin[\[Alpha]] (Cos[\[Theta]] Cos[\[Phi]] Sin[\[Alpha]] -
Cos[\[Alpha]] Sin[\[Theta]]))/(
4 (-2 + Sqrt[2]) \[Pi]^2 (p^2 + r^2 -
2 p r Cos[\[Alpha]] Cos[\[Theta]] -
2 p r Cos[\[Phi]] Sin[\[Alpha]] Sin[\[Theta]])^(3/2));
a bit modified
e1 = 4 Pi^2 (Sqrt[2] - 2) exp p^2 Sin[\[Alpha]]
Now let
hh = p^2 + r^2 - 2 p r Cos[\[Alpha]] Cos[\[Theta]] - 2 p r Cos[\[Phi]] Sin[\[Alpha]] Sin[\[Theta]]
j1 = Sin[\[Alpha]]/(4 (Sqrt[2] - 2) p Pi^2 ) D[hh^(-1/2), \[Theta]] // Simplify
j1 is your integrand as derivative of theta.
exp - j1 // Simplify
But as already mentioned integration over theta is no issue and this is not a step to the solution of your problem.