"But what about the other way around? Suppose p is mapped to the interior of the upper half space by a local homeomorphism of an open set U. How does your proof show that U can not contain an open subset containing p that can be mapped homeomorpically to an open subset of the boundary of R+n and take p to the boundary?"
By shrinking around the boundary point, and composing, it seems this would give a homeomorphism from a half disc H around the boundary point y, to a bounded connected open set W in the interior, taking y to some point x in W. Then the complement of y in the half disc, i.e. the punctured half disc H - {y}, would be homeomorphic to the punctured set W-{x}. But one of them is contractible and the other, namely W - {x}, is not. I.e. a small sphere centered at x wraps once around x, and hence cannot be deformed off it, as a contraction would do.
I.e. as stated originally, y has arbitrarily small contractible punctured neighborhoods in H, while x has no contractible punctured nbhds in W. So H cannot be homeomorphic to W, with y going to x.
Perhaps I should say (H,y) and (W,x) have different local homology groups, i.e. the local homology of H at y is zero, unlike that of W at x.
believe that? sorry, I am a bit rusty on topology. But I am using excision here to compute the local homology of W at x, by replacing W by a ball centered at x. So even though originally I am trying to compare a punctured half ball to a punctured open set in R^n, excision let's me just compare a punctured half ball to a punctured ball.