It's simply not possible to write the integral in terms of a closed-form solution because $ \int (a^{t})^{(a^{t})} \textrm{d}t $ is non-elementary. All elementary functions can be expressed using a finite number of elementary functions and operations, like addition, subtraction, multiplication, fractions, exponentiation, logarithms, trig functions, inverse trig functions, hyperbolic trig functions, and inverse hyperbolic trig functions. Since the integral you're interested in has no elementary solutions, it cannot be written in closed form. So as unfortunate as it sounds, this is probably the best solution to it you're gonna get.
Edit 1: It appears as though I was a bit too hasty in my judgement; yes, this integral is indeed non-elementary, but it actually has a nice solution if you have an open mind!
Observe:
$$ \int (a^{t})^{(a^{t})} \textrm{d}t = \int (e^{t\ln(a)})^{(e^{t\ln(a)})} \textrm{d}t $$
$$ \int (e^{t\ln(a)})^{(e^{t\ln(a)})} \textrm{d}t = \int e^{t\ln(a)e^{t\ln(a)}} \textrm{d}t $$
$$ u = t\ln(a) \implies \textrm{d}t = \dfrac{\textrm{d}u}{\ln(a)} $$
$$ \int e^{t\ln(a)e^{t\ln(a)}} \textrm{d}t = \dfrac{1}{\ln(a)}\int e^{ue^{u}} \textrm{d}u $$
Alrighty then. I was pretty excited when I got to this point, because what nice function conveniently eliminates expressions of the form $xe^{x}$? Let us see:
$$ u = W(v) \implies \textrm{d}u = W'(v)\textrm{d}v $$
$$ \dfrac{1}{\ln(a)}\int e^{ue^{u}} \textrm{d}u = \dfrac{1}{\ln(a)}\int e^{W(v)e^{W(v)}} W'(v) \textrm{d}v $$
$$ \dfrac{1}{\ln(a)}\int e^{W(v)e^{W(v)}} W'(v) \textrm{d}v = \dfrac{1}{\ln(a)}\int e^{v} W'(v) \textrm{d}v $$
And for the finale...
$$ \int e^{v} W'(v) \textrm{d}v = W(v)e^{v} - \int W(v)e^{v} \textrm{d}v $$
$$ v = \ln(z) \implies \textrm{d}v = \dfrac{\textrm{d}z}{z} $$
$$ \int W(v)e^{v} \textrm{d}v = \int W(\ln(z))e^{\ln(z)} \dfrac{\textrm{d}z}{z} $$
$$ \int W(\ln(z))e^{\ln(z)} \dfrac{\textrm{d}z}{z} = \int W(\ln(z))z \dfrac{\textrm{d}z}{z} $$
$$ \int W(\ln(z))z \dfrac{\textrm{d}z}{z} = \int W(\ln(z)) \textrm{d}z $$
Unfortunately, this is where our journey ends. However, you could always define a special function, so that's exactly what I'm gonna do!
$$ \textrm{Wi}(x) := \int_{1}^{x} W(\ln(\xi)) \textrm{d}\xi $$
And now, we can finally clean things up:
$$ \int e^{v} W'(v) \textrm{d}v = W(v)e^{v} - \textrm{Wi}(z) $$
$$ W(v)e^{v} - \textrm{Wi}(z) = W(v)e^{v} - \textrm{Wi}(e^{v}) $$
$$ W(v)e^{v} - \textrm{Wi}(e^{v}) = ue^{ue^{u}} - \textrm{Wi}(e^{ue^{u}}) $$
$$ ue^{ue^{u}} - \textrm{Wi}(e^{ue^{u}}) = (t\ln(a))e^{(t\ln(a))e^{t\ln(a)}} - \textrm{Wi}(e^{(t\ln(a))e^{t\ln(a)}}) $$
And as always, never forget your constant multiples and +C!
$$ \dfrac{1}{\ln(a)}\left((t\ln(a))e^{(t\ln(a))e^{t\ln(a)}} - \textrm{Wi}(e^{(t\ln(a))e^{t\ln(a)}})\right) + C $$
Edit 2: This needs a bit more tidying up...
$$ ta^{ta^{t}} - \dfrac{1}{\ln(a)}\textrm{Wi}(a^{ta^{t}}) + C $$
Edit 3: I made a slight error when doing IBP; I added the integral part instead of subtracting it. Oops.
If the series manipulations are giving you trouble or if you just would rather avoid them for whatever reason, it is in fact possible to do the calculation entirely with integrals.
Given $(a,b,c,z)\in\mathbb{R}^{4}$ such that $0<b<c\land z\le1$, Euler's integration formula for the Gauss hypergeometric function states
$$\int_{0}^{1}\mathrm{d}t\,\frac{t^{b-1}\left(1-t\right)^{c-b-1}}{\left(1-zt\right)^{a}}=\operatorname{B}{\left(b,c-b\right)}\,{_2F_1}{\left(a,b;c;z\right)};~~~\small{a+b-c<0\lor z<1}.$$
Suppose $0<\gamma<1$. We find
$$\begin{align}
\mathcal{I}{\left(\gamma\right)}
&=\int_{0}^{\infty}\mathrm{d}x\,\frac{1}{\left(1+x\right)^{2+\gamma}}\,{_2F_1}{\left(1+\frac{\gamma}{2},\frac32;3;\frac{4x}{\left(1+x\right)^{2}}\right)}\\
&=\int_{0}^{\infty}\mathrm{d}x\,\frac{1}{\left(1+x\right)^{2+\gamma}}\cdot\frac{1}{\operatorname{B}{\left(\frac32,\frac32\right)}}\int_{0}^{1}\mathrm{d}t\,\frac{\sqrt{t\left(1-t\right)}}{\left[1-\frac{4x}{\left(1+x\right)^{2}}t\right]^{1+\frac{\gamma}{2}}}\\
&=\frac{1}{\operatorname{B}{\left(\frac32,\frac32\right)}}\int_{0}^{\infty}\mathrm{d}x\int_{0}^{1}\mathrm{d}t\,\frac{1}{\left(1+x\right)^{2+\gamma}}\cdot\frac{\sqrt{t\left(1-t\right)}}{\left[1-\frac{4x}{\left(1+x\right)^{2}}t\right]^{1+\frac{\gamma}{2}}}\\
&=\frac{8}{\pi}\int_{0}^{\infty}\mathrm{d}x\int_{0}^{1}\mathrm{d}t\,\frac{1}{\left[\left(1+x\right)^{2}\right]^{1+\frac{\gamma}{2}}}\cdot\frac{\sqrt{t\left(1-t\right)}}{\left[1-\frac{4x}{\left(1+x\right)^{2}}t\right]^{1+\frac{\gamma}{2}}}\\
&=\frac{8}{\pi}\int_{0}^{\infty}\mathrm{d}x\int_{0}^{1}\mathrm{d}t\,\frac{\sqrt{t\left(1-t\right)}}{\left[\left(1+x\right)^{2}-4xt\right]^{1+\frac{\gamma}{2}}}\\
&=\frac{8}{\pi}\int_{0}^{\infty}\mathrm{d}x\int_{0}^{1}\mathrm{d}t\,\frac{\sqrt{t\left(1-t\right)}}{\left[x^{2}-2(2t-1)x+1\right]^{1+\frac{\gamma}{2}}}\\
&=\frac{2}{\pi}\int_{0}^{\infty}\mathrm{d}x\int_{-1}^{1}\mathrm{d}u\,\frac{\sqrt{1-u^{2}}}{\left(x^{2}-2ux+1\right)^{1+\frac{\gamma}{2}}};~~~\small{\left[t=\frac{u+1}{2}\right]}\\
&=\frac{2}{\pi}\int_{-1}^{1}\mathrm{d}u\int_{0}^{\infty}\mathrm{d}x\,\frac{\sqrt{1-u^{2}}}{\left(x^{2}-2ux+1\right)^{1+\frac{\gamma}{2}}}\\
&=\frac{1}{\pi}\int_{-1}^{1}\mathrm{d}u\int_{0}^{\infty}\mathrm{d}x\,\frac{\sqrt{1-u^{2}}}{\left(x^{2}-2ux+1\right)^{1+\frac{\gamma}{2}}}\\
&~~~~~+\frac{1}{\pi}\int_{-1}^{1}\mathrm{d}u\int_{-\infty}^{0}\mathrm{d}x\,\frac{\sqrt{1-u^{2}}}{\left(x^{2}-2ux+1\right)^{1+\frac{\gamma}{2}}};~~~\small{\left[(x,u)\mapsto(-x,-u)\right]}\\
&=\frac{1}{\pi}\int_{-1}^{1}\mathrm{d}u\int_{-\infty}^{\infty}\mathrm{d}x\,\frac{\sqrt{1-u^{2}}}{\left(x^{2}-2ux+1\right)^{1+\frac{\gamma}{2}}}\\
&=\frac{1}{\pi}\int_{-1}^{1}\mathrm{d}u\int_{-\infty}^{\infty}\mathrm{d}y\,\frac{\sqrt{1-u^{2}}}{\left(y^{2}+1-u^{2}\right)^{1+\frac{\gamma}{2}}};~~~\small{\left[x=y+u\right]}\\
&=\frac{1}{\pi}\int_{-1}^{1}\mathrm{d}u\int_{-\infty}^{\infty}\mathrm{d}z\,\frac{\left(1-u^{2}\right)}{\left[\left(1-u^{2}\right)z^{2}+1-u^{2}\right]^{1+\frac{\gamma}{2}}};~~~\small{\left[y=z\sqrt{1-u^{2}}\right]}\\
&=\frac{1}{\pi}\int_{-1}^{1}\mathrm{d}u\int_{-\infty}^{\infty}\mathrm{d}z\,\frac{1}{\left(1-u^{2}\right)^{\frac{\gamma}{2}}\left(1+z^{2}\right)^{1+\frac{\gamma}{2}}}\\
&=\frac{4}{\pi}\int_{0}^{1}\mathrm{d}u\int_{0}^{\infty}\mathrm{d}z\,\frac{1}{\left(1-u^{2}\right)^{\frac{\gamma}{2}}\left(1+z^{2}\right)^{1+\frac{\gamma}{2}}}\\
&=\frac{4}{\pi}\int_{0}^{1}\mathrm{d}v\,\frac{1}{2\sqrt{v}}\int_{0}^{\infty}\mathrm{d}w\,\frac{1}{2\sqrt{w}}\cdot\frac{1}{\left(1-v\right)^{\frac{\gamma}{2}}\left(1+w\right)^{1+\frac{\gamma}{2}}};~~~\small{\left[u=\sqrt{v}\land z=\sqrt{w}\right]}\\
&=\frac{1}{\pi}\int_{0}^{1}\mathrm{d}v\,v^{-1/2}\left(1-v\right)^{-\frac{\gamma}{2}}\int_{0}^{\infty}\mathrm{d}w\,\frac{\left(\frac{1}{1+w}\right)^{\frac32+\frac{\gamma}{2}}}{\left(\frac{w}{1+w}\right)^{1/2}}\\
&=\frac{1}{\pi}\int_{0}^{1}\mathrm{d}v\,v^{-1/2}\left(1-v\right)^{-\frac{\gamma}{2}}\int_{0}^{1}\mathrm{d}t\,\frac{\left(1-t\right)^{-\frac12+\frac{\gamma}{2}}}{t^{1/2}};~~~\small{\left[w=\frac{t}{1-t}\right]}\\
&=\frac{1}{\pi}\int_{0}^{1}\mathrm{d}v\,v^{1/2-1}\left(1-v\right)^{1-\frac{\gamma}{2}-1}\int_{0}^{1}\mathrm{d}t\,t^{1/2-1}\left(1-t\right)^{\frac12+\frac{\gamma}{2}-1}\\
&=\frac{1}{\pi}\operatorname{B}{\left(\frac12,1-\frac{\gamma}{2}\right)}\,\operatorname{B}{\left(\frac12,\frac12+\frac{\gamma}{2}\right)}.\blacksquare\\
\end{align}$$
Cheers. =)
Best Answer
I think this should be $$\sum_{n=0}^\infty \text P_{-n}^{-n}(z)=\sum_{n=0}^\infty \frac{(1\color{red}-z)^\frac n2\,_2\text F_1\left(1-n,n;n+1;\frac{1-z}2\right)}{(1\color{red}+z)^\frac n2 n!}$$
From here, we have
$$\begin{align}\sum_{n=0}^\infty \text P_{-n}^{-n}(z)&=1+\sum_{n=1}^\infty \frac{2^n \text B_\frac{1-z}2(n,n)}{(n-1)!(1-z^2)^{n/2}} \\\\&=1+\sum_{n=1}^\infty \frac{2^n}{(n-1)!(1-z^2)^{n/2}}\int_{0}^{(1-z)/2}t^{n-1}(1-t)^{n-1}dt \\\\&=1+\int_{0}^{(1-z)/2}\frac{1}{t(1-t)}\sum_{n=1}^\infty \frac{1}{(n-1)!}\bigg(\frac{2t(1-t)}{\sqrt{1-z^2}}\bigg)^n dt \\\\&\color{red}{=}1+\int_{0}^{(1-z)/2}\frac{1}{t(1-t)}\cdot\frac{2t(1-t)}{\sqrt{1-z^2}}e^{2t(1-t)/\sqrt{1-z^2}} dt \\\\&=1+\frac{2}{\sqrt{1-z^2}}\int_{0}^{(1-z)/2}\bigg(e^{2/\sqrt{1-z^2}}\bigg)^{t(1-t)} dt\end{align}$$ where $\displaystyle\sum_{n=1}^{\infty}\dfrac{x^n}{(n-1)!}=xe^x$ was used in the equality in red.
WolframAlpha says $$\int a^{t(1-t)}dt=\frac{\sqrt{\pi}\ a^{1/4}\operatorname{erf}\bigg(\frac 12 (2 t - 1) \sqrt{\ln a}\bigg)}{2\sqrt{\ln a}}+C$$
So, we finally get $$\sum_{n=0}^\infty \text P_{-n}^{-n}(z)=1+\frac{\sqrt{\pi}}{\sqrt 2 (1-z^2)^{1/4}}\ e^{\frac{1}{2\sqrt{1-z^2}}}\bigg(\operatorname{erf}\bigg(\frac{-z}{\sqrt 2 (1-z^2)^{1/4}}\bigg)-\operatorname{erf}\bigg(\frac{-1}{\sqrt 2 (1-z^2)^{1/4}}\bigg)\bigg)$$