The $\mathbb{Z}_p\mathbb{Z}_{p^2}\dots\mathbb{Z}_{p^s}$-additive codes are subgroups of $\mathbb{Z}_p^{α_1} \times \mathbb{Z}_{p^2}^{α_2} \times \cdots \times \mathbb{Z}_{p^s}^{α_s}$, and can be seen as linear codes over $\mathbb{Z}_p$ when $α_i=0$ for all $i \in \{2,\dots, s\}$, a $\mathbb{Z}_{p^s}$-additive code when $α_i=0$ for all $i \in \{1,\dots, s-1\}$ , or a $\mathbb{Z}_p\mathbb{Z}_{p^2}$-additive code when $s=2$, or $\mathbb{Z}_2\mathbb{Z}_4$-additive codes when $p=2$ and $s=2$. A $\mathbb{Z}_p\mathbb{Z}_{p^2}\dots\mathbb{Z}_{p^s}$-linear generalized Hadamard (GH) code is a GH code over $\mathbb{Z}_p$ which is the Gray map image of a $\mathbb{Z}_p\mathbb{Z}_{p^2}\dots\mathbb{Z}_{p^s}$-additive code. In this paper, we generalize some known results for $\mathbb{Z}_p\mathbb{Z}_{p^2}\dots\mathbb{Z}_{p^s}$-linear GH codes with $p$ prime and $s\geq 2$. First, we give a recursive construction of $\mathbb{Z}_p\mathbb{Z}_{p^2}\dots \mathbb{Z}_{p^s}$-additive GH codes of type $(α_1,\dots,α_s;t_1,\dots,t_s)$ with $t_1\geq 1, t_2,\dots,t_{s-1}\geq 0$, and $t_s\geq1$. Then, we show for which types the corresponding $\mathbb{Z}_p\mathbb{Z}_{p^2}\dots\mathbb{Z}_{p^s}$-linear GH codes are nonlinear over $\mathbb{Z}_p$. We also compute the kernel and its dimension whenever they are nonlinear.