I want to build on what Yuriy already established. First of all let me emphasize that I think at no order in the small $t$ approximation you will get a finite integral. This is because the equation $$1-wv^2-2v \exp\left({-\frac{t}{v}}\right)=0 \tag{0}$$ has an approximate solution $$v^* \approx \frac{1}{\sqrt{w}} \tag{1}$$ in the large $w$ limit which for any finite $t>0$ will have $\frac{t}{v^*} \approx \sqrt{w} \,t >>1$ and the exponential will be suppressed correspondingly. Since $\exp\left(-\frac{t}{v}\right)$ does not have a power series expansion about $v=0$ (meaning all the expansion coefficients in the power series expansion being $0$) for large enough $w$ indeed (1) holds to all orders as the next order is exponentially small and we have
$$
\sqrt{w} \int_0^{v^*} \frac{{\rm d}v}{\sqrt{1-wv^2-2v\exp\left(-t/v\right)}} = \frac{\pi}{2} + {\cal O}\left( \exp\left(-\sqrt{w} \, t\right) \right) \, .
$$
But this is not what happens in the small $t$ approximation if we cut the expansion at order $n>2$: The large $w$ dependence of the solution will behave like $$v^* \approx (-1)^{n} \left(\frac{2 \, t^{n-1}}{(n-1)! \, w}\right)^{\frac{1}{n}} \, .$$
In Yuriy's case $n=2$ this expansion is $$v^* = \sqrt{\frac{2t+1}{w}} - \frac{1}{w} + {\cal O}\left(w^{-3/2}\right)$$ which coincidentally matches (1) at $t=0$, but the next order is only $1/w$ which leads to
$$\sqrt{w}\int_0^{v^*} \frac{1}{\sqrt{1-wv^2-2v \exp\left(-\frac{t}{v}\right)}} \approx \sqrt{w}\int_0^{v^*} \frac{1}{\sqrt{1-wv^2}} = \frac{\pi}{2} + {\cal O}\left(w^{-1/2}\right)$$ for $w$ very large, which order-wise is not far away enough from $\pi/2$ for the $\cos^2$ function to vanish appropriately.
Strategy:
We start with the following sandwiching for the inner integral
\begin{align}
\left. \begin{array}{l} \sqrt{w} \int_0^{-\frac{1}{w} + \sqrt{ \frac{1}{w^2} + \frac{1}{w} }} \frac{{\rm d}v}{\sqrt{1-wv^2-2v}} \\
\sqrt{w} \int_0^{v^*} \frac{{\rm d}v}{\sqrt{1-wv^2}} \end{array} \right\} &\leq \sqrt{w} \int_0^{v^*} \frac{{\rm d}v}{\sqrt{1-wv^2-2v \exp\left(-t/v\right)}} \\
&\leq \sqrt{w} \int_0^{v^*} \frac{{\rm d}v}{\sqrt{1-wv^2-2v \exp\left(-t/v^*\right)}} \tag{2}
\end{align}
where $v^*$ is the solution to (0) which has the following obvious limits
$$
-\frac{1}{w} + \sqrt{ \frac{1}{w^2} + \frac{1}{w} } \leq v^* \leq \frac{1}{\sqrt{w}} \, . \tag{3}
$$
Note that we can implicitly express the solution of (0) as
$$
v^*=-\frac{\epsilon}{w} + \sqrt{ \left( \frac{\epsilon}{w} \right)^2 + \frac{1}{w} } \tag{4}
$$
with $\epsilon=\exp\left(-\frac{t}{v^*}\right) \leq 1$. The lower left inequality and the right inequality are obvious by comparison of the integrand. The upper left inequality follows by writing it as
\begin{align}
\int_0^{-\frac{1}{w} + \sqrt{ \frac{1}{w^2} + \frac{1}{w} }} \frac{{\rm d}v}{\sqrt{1-wv^2-2v}} \leq \int_0^{-\frac{\epsilon}{w} + \sqrt{ \left( \frac{\epsilon}{w} \right)^2 + \frac{1}{w} }} \frac{{\rm d}v}{\sqrt{1-wv^2-2v \exp\left(-t/v\right)}} \tag{5}
\end{align}
and the observation that the RHS of (4) as a function of $\epsilon$ is decreasing.
We now first calculate the RHS and lower LHS of (2) by using the formula
$$
\sqrt{w} \int_0^{-\frac{\epsilon}{w} + \sqrt{ \left( \frac{\epsilon}{w} \right)^2 + \frac{1}{w} }} \frac{{\rm d}v}{\sqrt{1-wv^2-2v \epsilon}} = \frac{\pi}{2} - \arcsin\left(\frac{\epsilon}{\sqrt{\epsilon^2 + w}}\right)
$$
for general $\epsilon$ and
$$
\sqrt{w} \int_0^{v^*} \frac{{\rm d}v}{\sqrt{1-wv^2}} = \arcsin\left(\sqrt{w} \, v^*\right) \, .
$$
When applying $\cos^2$ the inequalities in (2) reverse since the result is $\in (0,\pi/2)$ and we get
\begin{align}
\left. \begin{array}{l} \int_0^\infty {\rm d}w \, \frac{1}{w+1} \\
\int_0^\infty {\rm d} w\, {2\epsilon} v^* \end{array} \right\} &\geq \int_0^\infty {\rm d} w\, \cos^2 \left( \sqrt{w} \int_0^{v^*} \frac{{\rm d}v}{\sqrt{1-wv^2-2v \exp\left(-t/v\right)}} \right) \\
&\geq \int_0^\infty {\rm d} w\, \frac{\epsilon^2}{\epsilon^2 + w} \tag{6} \, .
\end{align}
The upper integral on the LHS diverges: we'll return to it later. The other integral on the LHS can be approximated by the following sequence
$$
\int_0^\infty {\rm d} w\, {2\epsilon} v^* \leq 2 \int_0^\infty {\rm d}w \, \frac{{\rm e}^{-\sqrt{w} \, t}}{\sqrt{w}} = \frac{4}{t}
$$
where use of the RHS of (3) was made, which unfortunately is not quite the upper bound we are looking for. Likewise for the RHS
$$
\int_0^\infty {\rm d} w\, \frac{\epsilon^2}{\epsilon^2 + w} \geq \int_0^\infty {\rm d} w\, \frac{{\rm e}^{-2t \, \left(1+\sqrt{1+w}\right)}}{1 + w} = 2 \, {\rm e}^{-2t} \, {\rm E}_1(2t) = -2 \left\{ \log(2t) + \gamma \right\} + {\cal O}(t)
$$
where use of the LHS of (3) was made.
Going back to the LHS we split the $w$-integral according to
$$
\int_0^{w_0} {\rm d}w + \int_{w_0}^{\infty} {\rm d}w
$$
and notice that (2) or (6) are valid $\forall w>0$, so we can use the upper quantity on the LHS of (6) or (2) for the first integral up to $w_0$ and the lower quantity on the LHS for the second integral from $w_0$ to $\infty$. It then follows readily that
$$
\int_{0}^{w_0} {\rm d}w \, \frac{1}{w+1} + \int_{w_0}^{\infty} {\rm d}w \, 2\epsilon v^* \leq \int_{0}^{w_0} {\rm d}w \, \frac{1}{w+1} + 2\int_{w_0}^{\infty} {\rm d}w \, \frac{{\rm e}^{-\sqrt{w}\,t}}{\sqrt{w}} \\
= \log (w_0+1) + \frac{4}{t} \, {\rm e}^{-\sqrt{w_0} \, t}
$$
and by choosing $w_0={t^{-2\delta-2}}$ we have
$$
=-(2\delta+2) \log(t) + \log\left(1+t^{2\delta+2}\right) + \frac{4}{t} \, {\rm e}^{-t^{-\delta}}
$$
$\forall \delta >0$.
The result therefore is
$$
\bbox[lightyellow] {
\eqalign{
&-(\delta+1) \log(t) + \frac{1}{2} \log\left(1+t^{2\delta+2}\right) + \frac{2}{t} \, {\rm e}^{-t^{-\delta}} \cr
\geq &\frac{1}{2}\int_0^\infty {\rm d} w\, \cos^2 \left( \sqrt{w} \int_0^{v^*} \frac{{\rm d}v}{\sqrt{1-wv^2-2v \exp\left(-t/v\right)}} \right) \cr
\geq &-\left\{ \log(2t) + \gamma \right\} + {\cal O}(t) \, .
}
}
$$