P2P lending is inherently tax-inefficient. You should prefer owning equities in taxable accounts and bonds in tax-deferred accounts. P2P lending counts as a bond.
This is like saying that because there's no state income tax in Florida, your after-tax income is always higher in Florida than in New York. In real life, however, salaries are not equivalent in New York and Florida, and you have to take that into account. Similarly, in this case you need to take into account the return, as well as taxes, when figuring out where to hold different investment classes.
As an example, suppose you hold a ten year bond yielding 3% and you're in the 25% tax bracket. Your after-tax return, assuming you hold the bond to maturity, is .75*3 = 2.25% in a taxable account and 3.0% in a Roth IRA (a tax-deferred account is trickier to calculate because it also requires knowing your tax situation when you withdraw funds). Now, let's compare that to a ten year stock return with 2% annual dividends and 7% annual capital gains. Assuming the dividends are qualified, in a taxable account the after tax return would be .85*2 = 1.7% dividends and (1.07^10) = 97% *.85 = 82%, or 6.2% annually. Now, let's compare the choices where we hold $10,000 of each, and figure out the best place to put the stocks and bonds.
Stocks in taxable, bonds in Roth:
Stocks: $1700 in dividends, plus end value of 18200 = $19900
Bonds: $13000
Total: $32,900
Bonds in taxable, stocks in Roth
Bonds: $12250
Stocks: $2000 in dividends, plus end value of $19700 = $21700
Total: $33700
As you can see, in this example you're better off putting stocks in the Roth account, even though they're "more tax efficient." With longer time periods, the differential grows.