> How can Person 2 be sure that Person 1 hasn't modified the API response before Person 2 receives it? ... If the API response is signed somehow, Person 2 could go retrieve Service A's public key (directly from Service A) and independently validate that the API response was actually received

The problem here is that Person 1 cannot be trusted, so they can't be the one providing the signature. Even if Person 1 signs, hashes, or encrypts the message when sending to Person 2, all it can prove is that it came from Person 1, not that it came from Service A.

If Person 2 wants to be sure that the message it got from Person 1 actually came from Service A, it will need the signature provided by Service A, not Person 1. To get the valid signature, it will need to contact Service A.

This is a long-winded way to say that if you want to trust what you got, you've got to go to the original source. HTTPS provides tools to do exactly this, and it's special because every time you buy a computer or server, trusted certificates are pre-installed on the machine. Without that initial level of trust, you can't trust anything you receive from anywhere.