Using relation $\sigma_i\sigma_j=\delta_{ij}+i\epsilon_{ijk}\sigma_k$ and denotation $P_i=p_i-eA_i$, we can write
$$(\sigma_iP_i)(\sigma_jP_j)=\delta_{ij}P_iP_j+i\epsilon_{ijk}P_iP_j\sigma_k,$$
where the last term explicitly is
$$P_iP_j=p_ip_j-ep_iA_j-eA_ip_j+e^2A_iA_j.$$
Due to $\epsilon_{ijk}p_ip_j=0$ and $\epsilon_{ijk}A_iA_j=0$, you should find
$$-i\epsilon_{ijk}p_iA_j\sigma_k-i\epsilon_{ijk}A_ip_j\sigma_k\rightarrow+(\nabla\times {\bf A})\cdot\sigma=\sigma\cdot{\bf H}.$$
In your notation, you should see that
$$\nabla\times{\bf p}=\epsilon_{ijk}\partial_jp_k=-i\epsilon_{ijk}\partial_j\partial_k,$$
which goes to zero due to the fact that ${\bf v}\times{\bf v}=0$, where ${\bf v}$ is arbitrary vector.