I am working on a linear regression problem. The features for my analysis have been selected using p-values and domain knowledge. After selecting these features, the performance of $R^2$ and the $RMSE$ improved from 0.25 to 0.85. But here is the issue, the features selected using domain knowledge have very high p-values (0.7, 0.9) and very low $R^2$ (0.002, 0.0004). Does it make sense to add such features even if your model shows improvement in performance. As far I know, according to linear regression, it is preferable to only keep features with low p-values.
Can anyone share their experience? If yes, then how can I back up my proposal of new features with high p-values.