If you write
$$e^{i b \sin (x)}=\sum_{n=0}^\infty\frac {i^n}{n!} \sin^n(x)\,b^n$$ you face integrals
$$I_n=\int_0^{\frac \pi 2}\cos (x)\, \sin ^{n+1}(x)\, \sin (a \cos (x))\,dx$$ which have general solution in terms of generalized hypergeometric function but which simplify in terms of Bessel J functions.
$$I_n=\frac{\sqrt{\pi }}{a}\,\left(\frac{2}{a}\right)^{\frac{n-1}{2}}\Gamma \left(\frac{n+2}{2}\right)\, J_{\frac{n+3}{2}}(a)$$
Then the solution is
$$\large\color{blue}{I=\frac{\pi}{\sqrt{2a} }\sum_{n=0}^\infty \,\frac{J_{\frac{n+3}{2}}(a)}{\Gamma \left(\frac{n+1}{2}\right)}\,\,t^n} \qquad \text{where}\quad \color{blue}{t=i\frac{b}{\sqrt{2a}}}$$
For an illustration purposes (to show the convergence), with $a=\pi$ and $b=e$
$$\left(
\begin{array}{cc}
p & \sum_{n=0}^p \\
0 & +0.31830989+0.00000000 \, i \\
1 & +0.31830989+0.65977312 \, i \\
2 & -0.39661531+0.65977312 \, i \\
3 & -0.39661531+0.12678791 \, i \\
4 & -0.09150410+0.12678791 \, i \\
5 & -0.09150410+0.26910237 \, i \\
6 & -0.14763987+0.26910237 \, i \\
7 & -0.14763987+0.24989264 \, i \\
8 & -0.14182965+0.24989264 \, i \\
9 & -0.14182965+0.25146819 \, i \\
10 & -0.14221701+0.25146819 \, i \\
11 & -0.14221701+0.25138105 \, i \\
12 & -0.14219894+0.25138105 \, i \\
13 & -0.14219894+0.25138453 \, i \\
14 & -0.14219957+0.25138453 \, i \\
15 & -0.14219957+0.25138442 \, i \\
\end{array}
\right)$$