Assume there exist, raise to the square both sides and get
$$\sqrt{2} = a^2 + b^2(1+ \sqrt{2}) + 2 a b \sqrt{1+\sqrt{2}}$$
Assume first that $a b \ne 0$ and get
$$\sqrt{1+\sqrt{2}} = c + d \sqrt{2}$$
for some rational $c$, $d$, and so
$$1+ \sqrt{2}= (c+d\sqrt{2})^2$$
Separating the rational and irrational parts conclude that we also have
$$1- \sqrt{2}= (c- d \sqrt{2})^2$$
and that is not possible.
We have the case $a b = 0$. Clearly cannot have $b=0$, so $a=0$ and
$$\sqrt[4]{2} = b \sqrt{1+ \sqrt{2}}$$
or
$$\frac{1+ \sqrt{2}}{\sqrt{2}} = \frac{1}{b^2}$$
again not possible.
$\bf{Added:}$ A general statement is that incommensurable (square) roots are linearly independent. That is, if $d_i \in F$ field ( of characteristic $\ne 2$), $\sqrt{d_i} \in K\supset F$, and $\frac{\sqrt{d_i}}{\sqrt{d_j}}\not \in F$ for $i\ne j$, then $(\sqrt{d_i})_i$ are linearly independent over $F$ (in our case $F = \mathbb{Q}(\sqrt{2})$).