Can we use any other TAG inside <ul> along with <li>?

According to the W3C Recommendation, the basic structure of a list must be:

<UL>
   <LI> ... first list item...
   <LI> ... second list item...
   ...
</UL>

You can put p tags only inside of li tags, not as direct children of ul. The W3C Recommendation expressly states:

lists are made up of sequences of list items defined by the LI element


For your code to be valid you can't put any tag inside a <ul> other than an <li>.

You can however, put any block level element inside the <li>, like so:

<ul>
        <li>
            <h2>...</h2>
            <p>...</p>
            <p>...</p>
        </li>
</ul>