Note that for your space $X$ with the given metric, given a subsequence $\{x_{n}\}_{n=1}^{\infty}$ of $[-a,0)$ or of $(0,a],$ the metric $d$ reduces to the ordinary metric on $\mathbb{R}.$ In particular, the sequences $\{a/n\}_{n=1}^{\infty}$ and $\{-a/n\}_{n=1}^{\infty}$ are Cauchy with respect to $d,$ so in the completion, they must have a limit. Let's call these limits $0^{+}$ and $0^{-}$ for the time being. We have to extend the definition of $d$ to $0^{\pm}$ in order to make sense of the metric in the completed space, which we can accomplish by defining $\mathrm{sgn}^{*}$ to be the usual $\mathrm{sgn}$ function on $\mathbb{R}$, and giving values of this function to $0^{\pm}$. We see that in order for $a/n\rightarrow 0^{+}$ with respect to $d,$ we need $\mathrm{sgn}^{*}(0^{+})=1$ (otherwise $d(a/n,0^{+})= a/n+|1-\mathrm{sgn}^{*}(0^{+})|\rightarrow |1-\mathrm{sgn}^{*}(0^{+})|>0$ as $n\rightarrow\infty$, so this convergence does not hold). Similarly, we need $\mathrm{sgn}^{*}(0^{-})=-1$.
Let's call $X^{*}=[-a,0)\cup(0,a]\cup\{0^{-},0^{+}\},$ with $d^{*}$ defined as $d$, but with $\mathrm{sgn}^{*}$ as defined above rather than $\mathrm{sgn}.$ We observe that $d^{*}=d$ when restricted to $X$, and that any Cauchy sequence in $d^{*}$ must stabilize in either $I^{-}=[-a,0)\cup\{0^{-}\}$ or $I^{+}=\{0^{+}\}\cup(0,a]$ (i.e., $\{x_{n}\}_{n=1}^{\infty}$ stabilizes in $I^{+}$ if there is some $N$ such that for all $n\geq N,$ $x_{n}\in I^{+}$), since otherwise for any $N,$ there is some pair $n,m\geq N$ such that $x_{n}\in I^{-},$ $x_{m}\in I^{+},$ in which case $d^{*}(x_{n},x_{m})\geq 2$. But if $\{x_{n}\}_{n=1}^{\infty}$ stabilizes in $I^{+},$ say, then there is some $N$ such that for all $n\geq N,$ $x_{n}\in I^{+},$ which means that $d^{*}(x_{n},x_{m})=|x_{n}-x_{m}|$ for $n,m\geq N.$ Clearly $I^{+}$ with $d^{*}$ restricted to this set is isomorphic to $[0,a],$ which is complete, and thus $\{x_{n}\}_{n=1}^{\infty}$ has a limit in $I^{+}.$ Repeating this argument for $I^{-},$ we see that all Cauchy sequences in $X^{*}$ have limits with respect to $d^{*}$, so $(X^{*},d^{*})$ is complete, as desired.