It's a probability (conditional probability of the discrete rv Y given the continuous X=x) multiplied by the density of the continuous rv at X=x. It is the valu

It's a probability (conditional probability of the discrete rv Y given the continuous X=x) multiplied by the density of the continuous rv at X=x. It is the value of the joint density at X=x, Y=y. p-values are unrelated to this but are computed by looking at the cumulative distribution function (the integral of the density).