It's probably being a bit pedantic.
I understand that since the transformation of $p^\mu$ is $p^\mu \rightarrow \Lambda^\mu_\nu p^\nu$. The integral measure transforms as the determinant of the Jacobian, which in this case is $\Lambda$ itself by virtue of it being a linear transformation. Leading to $d^4p \rightarrow \det(\Lambda) d^4p$.
I just wanted to work it out directly as: $$p^\mu \rightarrow \Lambda^\mu_\nu p^\nu$$ $$dp^\mu \rightarrow \Lambda^\mu_\nu dp^\nu$$ $$dp^0dp^1dp^2dp^3 \rightarrow \Lambda^0_\alpha \Lambda^1_\beta \Lambda^2_\gamma \Lambda^3_\delta dp^\alpha dp^\beta dp^\gamma dp^\delta $$ How do we show that $$\Lambda^0_\alpha \Lambda^1_\beta \Lambda^2_\gamma \Lambda^3_\delta dp^\alpha dp^\beta dp^\gamma dp^\delta = \epsilon^{\alpha \beta \gamma \delta} \Lambda^0_\alpha \Lambda^1_\beta \Lambda^2_\gamma \Lambda^3_\delta dp^0 dp^1 dp^2 dp^3 = \det(\Lambda) dp^0 dp^1 dp^2 dp^3$$