There are much more elegant ways to prove the result, but here's a quasi-experimental approach that shows how you might attack such a problem. (And it actually proves that there are no positive integers $n$ for which the sum is an integer.)
First note that $\left(a+\frac12\right)^2=a^2+a+\frac14$ is always $\frac14$ more than an integer. Thus, $$\left(a +\frac12\right)^2 + \left(b+\frac{1}{2}\right)^n$$ is an integer if and only if $\left(b+\frac12\right)^n$ is $\frac14$ less than an integer, i.e., if and only if there is an integer $m$ such that $\left(b+\frac12\right)^n=m-\frac14$. If this is the case, then $4\left(b+\frac12\right)^n=4m-1$.
Is this possible when $n=1$? No: $4\left(b+\frac12\right)^1=4b+2$ is an integer, but it's an even integer, and $4m-1$ is odd.
What if $n=2$? Still no: $4\left(b+\frac12\right)^2=4b^2+4b+1=4(b^2+b)+1$, which is odd, but it's one more than a multiple of $4$, and $4m-1$ is one less than a multiple of $4$.
For $n=3$ matters are still worse: $4\left(b+\frac12\right)^3=4b^3+6b^2+3b+\frac12$, which isn't even an integer.
For $n=4$ we have $4\left(b+\frac12\right)^4=4b^4+8b^3+6b^2+2b+\frac14$, which is worse yet.
Now look at the constant terms in (1)-(4): $2,1,\frac12$, and $\frac14$. They should suggest the conjecture that the constant term in $4\left(b+\frac12\right)^n$ is $\dfrac1{2^{n-2}}$. If you can prove this, you're practically done. Equivalently, try to prove the
Conjecture: The constant term in $\left(b+\frac12\right)^n$ is $\dfrac1{2^n}$.
If you already know the binomial theorem, you can get this immediately from it. Otherwise, you can prove the conjecture by induction on $n$.