Calculate $$\int_0^\infty \frac{\sin\left(x^2 - \arctan\left(\frac{1}{x^2}\right)\right)}{\sqrt{1 + x^4}} \, dx =? $$
$$\sin(\arctan(x^2)) = \frac{x^2}{\sqrt{1 + x^4}}; \quad \cos(\arctan(x^2)) = \frac{1}{\sqrt{1 + x^4}}; \quad \arctan(x^2) + \arctan\left(\frac{1}{x^2}\right) = \frac{\pi}{2}$$
$$\frac{{\sin(x^2 - \arctan(1/(x^2)))}}{{\sqrt{1 + x^4}}} = \frac{{x^2 \cdot \sin(x^2) - \cos(x^2)}}{{1 + x^4}}$$
We know that $$\int_0^1 e^{-ay} \cdot \cos(by) \, dy = \frac{a + b e^{-a} \cdot \sin(b) - a e^{-a} \cdot \cos(b)}{a^2 + b^2}$$
Now back to our original topic
$$\int_0^1 e^{-y} \cdot \cos(x^2 \cdot y) \, dy = \frac{1}{{1 + x^4}} + \frac{{x^2 \cdot \sin(x^2) - \cos(x^2)}}{{e(1 + x^4)}}$$
$$\iint\limits_{0}^{\infty} \int_0^1 e^{-y} \cdot \cos(x^2 y) \, dy \, dx = \int_0^{\infty} \frac{1}{1+x^4} \, dx + \frac{1}{e} \int_0^{\infty} \frac{{x^2 \cdot \sin(x^2) - \cos(x^2)}}{{1 + x^4}} \, dx$$
Continuing where OP left off. \begin{align*} I & = e \left( \int_{0}^{\infty} \int_{0}^{1} e^{-y}\cos(x^2y) \, \mathrm{d}y \, \mathrm{d}x -\int_{0}^{\infty} \frac{\mathrm{d}x}{1+x^4} \right)\\ & \overset{\color{purple}{u = x\sqrt{y}}}{=} e \left( \int_{0}^{1}\frac{e^{-y}}{\sqrt{y}} \int_{0}^{\infty} \cos(u^2) \, \mathrm{d}u \, \mathrm{d}y -\frac{\pi}{4}\csc\left(\frac{\pi}{4}\right) \right)\\ & \overset{\color{purple}{v = \sqrt{y}}}{=} e \left(2\frac{\sqrt{\pi}}{2\sqrt{2}} \int_{0}^{1} e^{-v^2} \, \mathrm{d}v -\frac{\pi}{2\sqrt{2}} \right)\\ & = \boxed{ -\frac{e \pi \, \mathrm{erfc}(1)}{2 \sqrt{2}}} \end{align*} using that $\int_{0}^{\infty} \frac{t^{a-1}}{1+t^b}\mathrm{d}t = \frac{\pi}{b} \csc\left(\frac{\pi a}{b}\right)$ for $0<a<b$, the evaluation of the Fresnel integral $\int_{0}^{\infty}\cos(t^2)\, \mathrm{d}t = \frac{\sqrt{\pi}}{2\sqrt{2}}$, and the definition of the complementary error function $\mathrm{erfc}(z) = 1-\frac{2}{\sqrt{\pi}}\int_{0}^{z}e^{-t^2}\, \mathrm{d}t $.