I think I have a proof using Pythagoras for $\sqrt{a_1^2} + \sqrt{a_2^2} > \sqrt{a_1^2 + a_2^2}$.
I'm interested in whether there's a way to use that proof with Pythagoras to prove the general $a_n$ case (for this, hints are appreciated rather than complete proofs), and also in other ways (algebraic, geometric, number theoric, calculusic...anything) that you might know or come up with to prove the general case (for those, either hints or complete proofs are great, up to you).
Lemma:
Let positive (edited) real numbers $a_1, a_2$ be the legs of a right triangle.
Then $\sqrt{a_1^2 + a_2^2}$ is the length of the hypothenuse of that triangle.
And $\sqrt{a_1^2} + \sqrt{a_2^2}$ is the sum of the length of the two legs.
By the triangular inequality, we know that the length of the hypothenuse has to be less than the length of the sum of the two legs.
Therefore, for any real numbers $a_1, a_2$, $\sqrt{a_1^2} + \sqrt{a_2^2} > \sqrt{a_1^2 + a_2^2}$.
I'm stuck here...I was thinking of comparing pairs of elements from each side of the expression using my lemma, but it doesn't seem possible to "extract" pairs of elements from under $\sqrt{a_1^2 + a_2^2 +...+a_n^2}$. I also thought about summing all elements but $a_1$ into a single number and using my lemma on those simplified expressions, but I run into the same problem.