I have two "elementary" questions. Let $\mathbb{F}_p$ be a finite field with $p$ elements, with $p$ odd prime. Let $\overline{\mathbb{F}}_p$ denote its algebraic closure, and $K_p$ denote its quadratic closure (closure under the operation of taking square roots). Is any of these two fields, $\overline{\mathbb{F}}_p$ and $K_p$, a quadratic extension of one of its subfields?
I am not sure what the answer is, though I have some guesses. I know that $K_p$ is the direct limit of $\mathbb{F}_{q_n}$, where $q_n = p^{2^n}$, as $n$ goes to $\infty$, and that, at each "finite" stage, the $n$'th term of this sequence of fields is a quadratic extension of the previous term. But what happens at the limit, namely at $K_p$?
This is I am sure well known to the experts. I am not even sure what the various Galois groups look like, though I can look that part up, of course. Does that amount (in the case of $K_p$) to the question of whether or not $\operatorname{Gal}(K_p/\mathbb{F}_p)$ has a subgroup of index $2$?
Edit: see Eric Wofsey's answer below, the question actually amounts to whether the corresponding Galois group has a subgroup of order $2$ (and not, as I had initially thought, of index $2$).