Induction on $n$:
If $n=1$, then $A_{n+2}=A_{3} \simeq \mathbb{Z}_3$ has subgroup $1 \simeq S_n = S_1$. Assume for some $n>1$, $S_n \simeq H$ for some $H \leq A_{n+2}$. I want to show that $S_{n+1} \simeq H'$ for some $H'\leq A_{n+3}$.
Note that $H \simeq S_n \leq S_{n+1}$, and by inductive hypothesis $H \leq A_{n+2} \leq A_{n+3}$. I guess if I can show that $S_{n+1} \simeq A_{n+2}$ then it will complete the proof, but I don't even know if that is a true statement.