DFMEA stands for Design Failure Mode and Effects Analysis and PFMEA stands for Process Failure Mode and Effects Analysis. They are both FMEA, use the same methodology.
However, DFMEA should cover all the potential failures that can occur in the production if the failures are the result of bad design. For example, the wrong part is assembled because it has a similar shape to the correct part. If DFMEA cannot eliminate or reduce the risk of these failures (by applying poka-yoke in design for example), PFMEA should take care.