But is there a relation between gas price set to a transaction and the
number of confirmation the transaction needs to be validated??
Once a transaction is part of a block that has been successfully mined, the gas price of that transaction has no effect on how secure that block is.* The next blocks will be added to the chain regardless - the gas price has no effect on difficulty.
Note that there isn't a specific number of confirmations that all people would consider secure anyway. It will depend on the opinion - or perhaps risk profile - of the particular person.
See the following thread for the differing values that people suggest: What number of confirmations is considered secure in Ethereum?
*However... This doesn't include the potential secondary effects of the likelihood of chain reorganisations, given that most miners would opt not to put low-priced transactions in their blocks, so other competing chains being mined at the same time would be less likely to include them. (I'm going to ignore this effect in this explanation though.)