You may notice that:
$$ a_n = \frac{(2n-1)!!}{(2n)!!} = \frac{1}{4^n}\binom{2n}{n}=\frac{2}{\pi}\int_{0}^{\pi/2}\cos(x)^{2n}\,dx \tag{1}$$
from which:
$$ f(x)=\sum_{n\geq 1}\frac{(2n-1)!!}{(2n)!!}\,x^{2n} = -1+\frac{1}{\sqrt{1-x^2}}.\tag{2} $$
Assuming that your series is convergent, we have
$$ S = \sum_{n\geq 1}\left(\frac{(2n-1)!!}{(2n)!!}\right)^2 = \frac{2}{\pi}\int_{0}^{\pi/2}f(\cos x)\,dx =-\frac{2}{\pi}+\int_{0}^{\pi/2}\frac{dx}{\sin x}\tag{3}$$
but the last integral is divergent, and so it is $S$. An alternative approach comes from
$$ \frac{1}{4^n}\binom{2n}{n}\approx\frac{1}{\sqrt{\pi n}}\tag{4} $$
granting that the original series is divergent by comparison with the harmonic series.
An interesting identity related with elliptic integrals is the following:
$$ \sum_{n\geq 1}\left(\frac{(2n-1)!!}{(2n)!!}\right)^{\color{red}{3}} = \color{red}{-1+\frac{\pi}{\Gamma\left(\frac{3}{4}\right)^4}}.$$