Is possible to put a PFET before a DCDC step up converter?
There's a lack of information to help you resolve this issue properly.
Is the P/N for the PMOS even correct? I'm not able to locate datasheet for IRF940N
If it's IRF9540 instead, then following applies:
You are operating the PMOS just on the border of the specified threshold voltage.  It tells you that a conductive channel is created somewhere within that range. Not that it's fully open. And since you are working with -3.7V(th) the reason could be the input voltage for the DC-DC isn't high enough and therefore unable to operate due to the voltage drop caused by the on-resistance of the PMOS. But i wouldn't know without a datasheet.