Let’s use a good solution from @Claude Leibovici using the series expansion for the Regularized Hypergeometric function:
$$\int \text J_0(x)\sin(ax)dx=\sum_{n=0}^\infty (-1)^n\frac{ a^{2 n+1} }{(2 n+1)!}\int x^{2 n+1} J_0(x)\,dx=C+\sum_{m=0}^\infty \frac{(-1)^m a^{2m+1}}{(2m+1)!}\sum_{n=0}^\infty \frac{(m+1)_n \left(-\frac{x^2}{4}\right)^n}{(1)_n (m+2)_n n!}$$
Simplifying the pochhammer symbols and using the Legendre Duplication formula
$$C+\sum_{m=0}^\infty\sum_{n=0}^\infty\frac{(-1)^m a^{2m+1}x^{2m+2} \left(-\frac{x^2}{4}\right)^n}{2\Gamma(2(m+1))(m+n+1)(1)_n n!}= C+\sum_{m=0}^\infty\sum_{n=0}^\infty\frac{\sqrt \pi(-1)^m a^{2m+1}x^{2m+2} \left(-\frac{x^2}{4}\right)^n}{2^{2m+1}2\Gamma(m+1)\Gamma\left(m+\frac32\right)(m+n+1)(1)_n n!} =C+\sum_{m=0}^\infty\sum_{n=0}^\infty\frac{(1)_{m+n}\frac{ax^2}{2}\left(\frac{a^2x^2}{4}\right)^m\left(-\frac{x^2}4\right)^n}{(2)_{m+n}\left(\frac32\right)_m(1)_nm!n!}$$
Now let’s use the Kampé de Fériet function which also appears on Wolfram Functions defined as:
$$\text F^{p,r,u}_{q,s,v}\left(^{a_1,…,a_p;c_1,…,c_r;f_1,…,f_u}_{b_1,…,b_q;d_1,…,d_s;g_1,…,g_v}\ x,y\right)\mathop=^\text{def}\sum_{m=0}^\infty\sum_{n=0}^\infty\frac{\prod\limits_{j=1}^p(a_j)_{m+n} \prod\limits_{j=1}^r(c_j)_m \prod\limits_{j=1}^u (f_j)_n x^my^n}{\prod\limits_{j=1}^q (b_j)_{m+n} \prod\limits_{j=1}^s(d_j)_m \prod\limits_{j=1}^v(g_j)_n m!n!}$$
where there is the Pochhammer Symbol $(a)_n=\frac{\Gamma(a+n)}{\Gamma(a)}$ and therefore:
$$\int \text J_0(x)\sin(ax)dx= C+\sum_{m=0}^\infty\sum_{n=0}^\infty\frac{(1)_{m+n}\frac{ax^2}{2}\left(\frac{a^2x^2}{4}\right)^m\left(-\frac{x^2}4\right)^n}{(2)_{m+n}\left(\frac32\right)_m(1)_nm!n!}=\frac{ax^2}{2}\text F^{1,0,0}_{1,1,1}\left(^{\ \ 1;;}_{2;\frac32;1}\ \frac{a^2x^2}4,-\frac{x^2}4\right)+C $$
Which looks like an Appell or Horn Hypergeometric function, but none of these functions have the “$\text F^{1,0,0}_{1,1,1}$“, for example the The First Appell Hypergeometric function is defined in a similar way:
$$\text F_1(a;b_1,b_2;c;z_1,z_2)=\text F^{1,1,1}_{1,0,0}\left(^{a;b_1;b_2}_{\ \ \ c;;}\ z_1,z_2\right)$$
So we can have a closed form in terms of a general function which probably will simplify into other functions:
We have the $(2n+1)!$ in the denominator which will complicate, but using the Legendre Duplication theorem.The expansion for sine should have a large radius of convergence. Let’s see if there are any reduction formulas that we could use. Please correct me and give me feedback!