Since:
$$I_{1/2}(z)=\sqrt{\frac{2}{\pi z}}\,\sinh z$$
and by the multiplication formula:
$$\lambda^{-\nu} I_\nu (\lambda z) = \sum_{n=0}^\infty \frac{1}{n!} \left(\frac{(\lambda^2-1)z}{2}\right)^n I_{\nu+n}(z)\tag{1} $$
we have:
$$\sqrt{\frac{2}{\pi}}\,\frac{\sinh \lambda}{\lambda} = \sum_{n=0}^\infty \frac{1}{n!} \left(\frac{\lambda^2-1}{2}\right)^n I_{n+1/2}(1),\tag{2} $$
$$\sqrt{\frac{2}{\pi}}\,\frac{\sinh \cosh u}{\cosh u} = \sum_{n=0}^\infty \frac{\sinh^{2n}(u)}{2^n\cdot n!} I_{n+1/2}(1),\tag{3} $$
$$\sqrt{\frac{2}{\pi}}\,\frac{\sinh\sqrt{1+2t^2}}{\sqrt{1+2t^2}} = \sum_{n=0}^\infty \frac{t^{2n}}{n!} I_{n+1/2}(1),\tag{4} $$
$$\sqrt{\frac{2}{\pi}}\,\frac{\sinh\sqrt{1+2w}}{\sqrt{1+2w}} = \sum_{n=0}^\infty \frac{w^{n}}{n!} I_{n+1/2}(1).\tag{5} $$
Now replacing $w$ with $\mu\eta$ and interating both sided against $e^{-\mu}$ over $\mathbb{R}^+$ we get:
$$\int_{0}^{+\infty}\frac{\sinh\sqrt{1+2\mu\eta}}{\sqrt{1+2\mu\eta}}e^{-\mu}\,d\mu = \sqrt{\frac{\pi}{2}}\sum_{n=0}^\infty \eta^n I_{n+1/2}(1),\tag{6} $$
$$\int_{0}^{+\infty}\frac{\sinh\sqrt{1+2\mu\eta^2}}{\sqrt{1+2\mu\eta^2}}\eta e^{-\mu}\,d\mu = \sqrt{\frac{\pi}{2}}\sum_{n=0}^\infty \eta^{2n+1} I_{n+1/2}(1),\tag{7} $$
$$\sum_{n=0}^\infty (2n+1)\, I_{n+1/2}(1)=\sqrt{\frac{2}{\pi}}\frac{d}{d\eta}\left.\int_{0}^{+\infty}\frac{\sinh\sqrt{1+2\mu\eta^2}}{\sqrt{1+2\mu\eta^2}}\eta e^{-\mu}\,d\mu\right|_{\eta=1}\tag{8}$$
$$ \sum_{n=0}^\infty (2n+1)\, I_{n+1/2}(1)=\sqrt{\frac{2}{\pi}}\int_{0}^{+\infty}\frac{2m\sqrt{1+2m}\cosh\sqrt{1+2m}+\sinh\sqrt{1+2m}}{(2m+1)^{3/2}}e^{-m}\,dm\tag{9}$$
and the last integral is not so difficult to compute. It is:
$$ I=\int_{1}^{+\infty}\frac{e^{\frac{1}{2}-\frac{u^2}{2}} \left(u \left(-1+u^2\right) \cosh u+\sinh u\right)}{u^2}\,du$$
or, integrating by parts:
$$ I=\cosh 1-\int_{1}^{+\infty}\left(u\cosh u+(1-u^2)\sinh u\right)e^{\frac{1-u^2}{2}}\,du\tag{10} $$
$$ I = \cosh 1+\frac{e}{2}\int_{0}^{+\infty}(v^2+v-1)\,e^{-\frac{v^2}{2}}\,dv-\frac{1}{2e}\int_{0}^{+\infty}(v^2+3v+1)e^{-\frac{v(v+4)}{2}}\,dv\tag{11}$$
so:
$$ I = \cosh 1+\frac{e}{2}-\frac{1}{2e} = \color{red}{e} \tag{12}$$
giving, due to $(9)$:
$$ \sqrt{\frac{\pi}{2}}\sum_{n=0}^{+\infty}(2n+1)\, I_{n+1/2}(1) = e\tag{13}$$
as wanted.