What is pQTL and why do we need eQTL?
Genetic variation can affect the levels of protein; consider a variant that reduces the amount of mRNA transcribed, this could have a profound effect on the amount of mRNA available to translate into a protein. 

Consider another variant that does not affect the abundance of the mRNA transcribed, but alters one of the many important sequences that are required for translation (co-factor binding sites, ribosomal binding sites, start site, etc.). 

These are just a couple of examples that first came to mind, but there are many more. For instance, a variant may increase expression of a particular microRNA that in turn inhibits the translation of another mRNA molecule. I have not included any references as this is more a logical exercise - doubtless there are many more ways a genetic variant can affect protein abundance.