In this paper, we introduce an $L_p$ analytic Fourier-Feynman transformation, show the existence of the $L_p$ analytic Fourier-Feynman transforms for a certain class of cylinder functionals on an abstract Wiener space, and investigate its interesting properties. Moreover, we define a convolution product for two functionals on the abstract Wiener space and establish the relationships between the Fourier-Feynman transform for the convolution product of two cylinder functionals and the Fourier-Feynman transform for each functional.