The objects that we call vectors in Euclidean space are, in more general situations, actually two possible different types of objects. If you change coordinates ($q_i\to q_i'$), the components change with different rules, according to how the Jacobian $\Lambda_{ij} = \frac{\partial q'_i}{\partial q_j}$ (using your notation) appears.
1) Vectors (or tangent vectors, or contravariant vectors):
Velocities are an important example. If a system has a trajectory $q_i(t)$, its velocity is $v_i(t)=\frac{dq_i}{dt}$. If you change coordinates, you get
$$v_i'=\frac{dq_i'}{dt}=\sum_j\frac{\partial q_i'}{\partial q_j}\frac{dq_j}{dt}=\sum_j \Lambda_{ij}v_j.$$
2) Co-vectors (or cotangent vectors, or one-forms, or covariant vectors):
The gradient of a function is an important example of this. If $f(q)$ is a function on configuration space, its gradient is $\nabla f_i=\frac{\partial f}{\partial q_i}$. Change coordinates to get
$$
(\nabla f)'_i=\frac{\partial f}{\partial q'_i}=\sum_j\frac{\partial q_j}{\partial q'_i}\frac{\partial f}{\partial q_j}=\sum_j \Lambda_{ji}^{-1}\nabla f_j.
$$
These two different transformation laws define the two different types of vector. We don't worry about this in Euclidean space, because there we often just do rotations, where the two concepts happen to coincide.
The transformation is as you've written because the momentum is really a covector on configuration space. You can see this for example, from the fact that $\frac{dp_i}{dt}=-\frac{\partial H}{\partial q_i}$.