Update:
If one may recall the following series:
$$\sum_{n=0}^\infty\frac1{n^2+x}=\frac1{2x}+\frac\pi{2\sqrt x\tanh(\pi\sqrt x)}$$
Then differentiating both sides $k$ times yields
$$\sum_{n=0}^\infty\frac1{(n^2+x)^{k+1}}=\frac1{2x^{k+1}}+\frac{(-1)^k\pi}{2\times k!}\frac{d^k}{dx^k}\frac1{\sqrt x\tanh(\pi\sqrt x)}$$
and evaluation at $x=1$ gives closed forms.
Update:
Using general Leibniz rule, we have
$$\frac{d^k}{dx^k}\frac{\coth(\pi\sqrt x)}{\sqrt x}=\sum_{p=0}^k\binom kp\frac{\Gamma(3/2+n-p)}{-2\sqrt\pi}(-1)^{n-p}x^{-1/2-n+p}(\coth(\pi\sqrt x))^{(p)}$$
We can handle the chain rule with the $n$th derivative of $\coth$ using Faà di Bruno's formula,
$$\small(\coth(\pi\sqrt x))^{(p)}=\sum_{q=1}^n\coth^{(q)}(\pi\sqrt x)B_{p,q}\left(\pi\frac12x^{-1/2},-\pi\frac14x^{-1/2},\dots,\sqrt\pi\frac{\Gamma(3/2+q)}{-4}(-1)^qx^{-1/2-q}\right)$$
where $B_{n,k}$ is the bell polynomial. The $q$th derivative of $\coth$ is then given when $q\ge1$:
$$\coth^{(q)}(x)=2^q(\coth(x)-1)\sum_{r=0}^q\frac{(-1)^rr!S_q^{(r)}}{2^r}(\coth(x)+1)^r$$
Putting all of this together,
$$\tiny F(k+1)=\frac12+\frac{(-1)^k\pi}{2(k!)}\left(\binom kp\frac{\Gamma(3/2+k)}{-2\sqrt\pi}(-1)^k(\coth(\pi)+\sum_{p=1}^k\sum_{q=1}^n\sum_{r=0}^q\binom kp\frac{\Gamma(3/2+k-p)}{-2\sqrt\pi}(-1)^{k+p+r}2^{q-r}(\coth(\pi)-1)(-1)^rr!S_q^{(r)}(\coth(\pi)+1)^r(\pi)B_{p,q}\left(\pi,-\pi\frac14,\dots,\sqrt\pi\frac{\Gamma(3/2+q)}{-4}(-1)^q\right)\right)$$
Old:
A theta function:
$$\frac12[\vartheta_3(0,r)+1]=\sum_{n=0}^\infty r^{n^2}$$
Term by term integration then reveals that
$$\frac1x\int_0^x\frac12[\vartheta_3(0,r)+1]\ dr=\sum_{n=0}^\infty\frac{x^{n^2}}{1+n^2}$$
Repeat this process over and over to get
$$\frac1{x_1}\int_0^{x_1}dx_2\frac1{x_2}\int_0^{x_2}dx_3\dots dx_k\frac1{x_k}\int_0^{x_k}dr\frac12[\vartheta_3(0,r)+1]=\sum_{n=0}^\infty\frac{x_1^{n^2}}{(1+n^2)^k}$$
And of course, evaluate at $x_1=1$ for your function. I do not see a closed form coming out of this, but it may be useful for discerning certain things about your function.
I do note, however, that in the case of $k=1$, the solution is given in this post:
$$\sum_{n=0}^\infty\frac1{1+n^2}=\int_0^1\frac12[\vartheta_3(0,r)+1]\ dr=\frac\pi{2\tanh\pi}+\frac12$$