What is parity interrupt?

There is no parity interrupt on the 8085 or 8086/8088.

If you mean a memory parity interrupt, that is a function of system design, not a function of the particular microprocessor involved. Generally, a memory parity error is fatal, so one would typically place it on a non-maskable interrupt, such as TRAP on the 8085, or INT 2 (NMI) on the 8086/8088. This assumes, of course, that the memory parity error does not just crash the processor.