Indeed, the integral converges since the integrand behaves like
$
e^{ax^2}
$
as $x\to-\infty$ and like
$
e^{x^2(a-1/x)}
$
as $x\to+\infty$, and $a<0$.
Here is also a calculation which, however, does not use the contour method.
Let us split the integral as
$$
I=\int_{-\infty}^\infty \frac{e^{ax^2}}{1+e^x}dx =
\int_{0}^\infty \frac{e^{ax^2}}{1+e^x}dx+
\int_{-\infty}^0\frac{e^{ax^2}}{1+e^x}dx=I_1+I_2\,.
$$
Then, using the formula for the geometric series
$$
I_1=\int_0^\infty \frac{e^{ax^2}}{1+e^{-x}}e^{-x}dx =\sum_{n=0}^\infty (-1)^n \int_0^\infty e^{ax^2-(n+1)x}dx=-\sum_{n=1}^\infty (-1)^n \int_0^\infty e^{ax^2-nx}dx
$$
whereas
$$
I_2= \int_{0}^\infty \frac{e^{ax^2}}{1+e^{-x}}dx =\sum_{n=0}^\infty (-1)^n \int_0^\infty e^{ax^2-nx}dx\,.
$$
In the sum $I_1+I_2$ all terms cancel out except for $n=0$, thus
$$
I=\int_0^\infty e^{ax^2}dx=\frac{1}{2}\int_{-\infty}^\infty e^{ax^2}dx=\frac{\sqrt{\pi}}{2\sqrt{-a}}\,,
$$
for $a<0$.
EDIT: In fact, as pointed out by Achille Hui in the comments, there is no need for geometric series
$$
I = \int_0^\infty e^{ax^2}\left( \frac{1}{1+e^x}+\frac{1}{1+e^{-x}}\right) dx
=\int_0^\infty e^{ax^2} dx = \frac{\sqrt{\pi}}{2\sqrt{-a}}\,.
$$