Depends on how you've set it up, but there is not enough information here to be sure what you are seeing and what is wrong.
The most likely scenario is that you have customised screens, set up so that issue-CREATE includes the field, but issue-EDIT (and possibly some or all of your workflow transition screens) do NOT include the field.
Go to the project's screen-scheme and drill down to the issue-edit screen - check if priority is on there and add it if it is missing.
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