(1) When you are considering $n \to \infty$ to indicate the normal usage [ like arbitrarily large Integer , arbitrarily large real number , extended real number ] , then it might be more sensible to use the notation $a_\infty$
(2) When you are considering $n \to \infty$ to indicate the larger infinity values [ like the trans-finites & non-standard analysis & variations ] , then it might be more sensible to use the notation $n \to \omega$ , because $\infty$ is ambiguous.
When you use that notation , then it is sensible to say $a_\omega$ & we can consider $a_{\omega+1}$ , $a_{\omega+2}$ ,$a_{2\omega}$ ,$a_{2\omega+2}$
(3) We should not mix up these 2 Cases to keep things Consistent & meaningful.
(4) Of course , you should ensure that $n \to \infty$ & $a_\infty$ versus $n \to \omega$ & $a_\omega$ make sense within your Scenario.
Noah Schweber gave a great Example , that there are "Countable" Digits for $\pi$
Likewise , we can not generally consider $\sin \omega$
While $e^{-\infty} \equiv 0$ , it is not easy to see whether we want $e^{-\omega} \equiv 0$ too.
Qiaochu Yuan has mentioned a great Point , that you might have to give Explanations.
You have to give the Definitions , making sure all the infinite & infinitesimal values are consistent & meaningful , within your Scenario.