Classically, Hardy spaces $H^p$on the disk are introduced as set of functions analytic on $\mathbb{D} = \{z \in \mathbb{C}: |z|<1\}$, which has bounded $H^p$ norm: $$ \|f\|_{H^p} = \sup_{0\leq r < 1} \left( \frac{1}{2\pi} \int_{0}^{2\pi} |f(r \, e^{\mathrm{i} \theta})|^p \, d \theta \right)^{1/p}, \text { for } 1 < p \leq \infty, \quad \|f\|_{H^\infty} = \sup_{z \in \mathbb{D}} |f(z)| .$$
Now for the case $p=\infty$ the $\|\cdot\|_{H^\infty}$ norm coincides with $\sup_{|z|=1} |f(z)|$ for all analytic functions on $\mathbb{D}$ (due to the maximum modulus principle).
Also, for $p<\infty$ and it can be shown for $f \in H^p$ (see e.g. the book by Duren) $$ \|f\|_{H^p} = \sup_{0\leq r < 1} \left( \frac{1}{2\pi} \int_{0}^{2\pi} |f(r \, e^{\mathrm{i} \theta})|^p \, d \theta \right)^{1/p} = \lim_{ r \rightarrow 1} \left( \frac{1}{2\pi} \int_{0}^{2\pi} |f(r \, e^{\mathrm{i} \theta})|^p \, d \theta \right)^{1/p} = \left( \frac{1}{2\pi} \int_{0}^{2\pi} |f( \, e^{\mathrm{i} \theta})|^p \, d \theta \right)^{1/p}. \quad (*)$$
Shouldn't it be possible to define the Hardy spaces rightaway as those analytic functions in $\mathbb{D}$ that have bounded $L_p$ norm on $\{|z|=1\}$, i.e. $(*) \leq \infty$.?
If yes, can you give me a reference where this definition is used?
Consider the function $f(z) = \exp{(1+z)/(1-z)}.$ This function has modulus $1$ on the boundary except at $1.$ So therefore $f\in H^\infty?$ Hardly. Look at $f(r)$ as $r\to 1^-.$