$$P_{n+2}(x)=x^2 P'_{n+1}(x)+(n+1)xP_{n+1}(x)-(n+1)P'_n(x) \tag{1}$$
where $P_{0}(x)=x$ , $P_{1}(x)=x^2$ are the given initial conditions.
I calculated few terms: $$P_{2}(x)=3x^3-1$$ $$P_{3}(x)=3.5x^4-6x$$ $$P_{4}(x)=3.5.7x^5-51x^2$$ $$P_{5}(x)=3.5.7.9x^6-546x^3+24$$
We can estimate the $P_n(x)$ form from a few terms ,
$P_{n}(x)=a_{n}x^{n+1}+b_{n}x^{n-2}+c_{n}x^{n-5}+d_{n}x^{n-8}+\cdots.$ If we put these terms in Equation 1, We get; $$a_{n+2}x^{n+3}+b_{n+2}x^{n}+c_{n+2}x^{n-3}+....= a_{n+1}(2n+3)x^{n+3}+[b_{n+1}2n-a_{n}(n+1)^2]x^{n}+[c_{n+1}(2n-3)-b_{n}(n+1)(n-2)]x^{n-3}+...... $$
We can write that $$a_{n+2}=(2n+3)a_{n+1}$$ $$b_{n+2}=2nb_{n+1}-a_{n}(n+1)(n+1)$$ $$c_{n+2}=(2n-3)c_{n+1}-b_{n}(n+1)(n-2)$$
Next term can be gotten as $$d_{n+2}=(2n-6)d_{n+1}-c_{n}(n+1)(n-5)$$
$a_{n}$ can be expressed as for $n>0$
$a_{n}=1.3.5.7.....(2n-1)=\frac{(2n-1)!}{2^{n-1}(n-1)!}$
I am looking for a closed form $P_n(x)$ or a generating function. Please help me to find a similar Rodrigues formula of Legendre Polynomials for the defined $P_{n}(x)$ above (if it is possible)?
Note: Legendre Polynomials, Rodrigues formula is $$\frac{1}{2^nn!}\frac{d^n}{dx^n}(x^2-1)^n$$
Edit: $P_n(x)$ satisfy the relation
$$\frac{x^2-y}{1-xy}=\cfrac{\sum_{n=0}^\infty \frac{y^{n}P_{n+1}(x)}{n!}}{\sum_{n=0}^\infty \frac{y^{n}P'_{n}(x)}{n!}} $$
$$\sum_{n=0}^\infty \frac{x^{2n}P_{n+1}(x)}{n!}=0 $$
My atempt to find generating function:
$$G(x,t)=\sum_{n=0}^\infty P_{n}(x) t^n =P_0(x)+P_1(x)t+P_2(x)t^2+P_3(x)t^3+..... \tag {2}$$
$$xt\frac {\partial G(x,t)}{\partial t}=xP_1(x)t+2xP_2(x)t^2+3xP_3(x)t^3+.....\tag {3}$$
$$x^2\frac {\partial G(x,t)}{\partial x}=x^2P'_0(x)+x^2P'_1(x)t+x^2P'_2(x)t^2+x^3P'_3(x)t^3+.....\tag {4}$$
$$t\frac {\partial G(x,t)}{\partial x}+t^2\frac {\partial^2 G(x,t)}{\partial x \partial t}=P'_0(x)t+2P'_1(x)t^2+3P'_2(x)t^3+4P'_3(x)t^4+.....\tag {5}$$
$$xt\frac {\partial G(x,t)}{\partial t}+x^2\frac {\partial G(x,t)}{\partial x}-t\frac {\partial G(x,t)}{\partial x}-t^2\frac {\partial^2 G(x,t)}{\partial x \partial t}=x^2P'_0(x)+(x^2P'_1(x)+xP_1(x)-P'_0(x))t+(x^2P'_2(x)+2xP_2(x)-2P'_1(x))t^2+(x^2P'_3(x)+3xP_3(x)-3P'_2(x))t^3+....\tag {6}$$
$$xt\frac {\partial G(x,t)}{\partial t}+x^2\frac {\partial G(x,t)}{\partial x}-t\frac {\partial G(x,t)}{\partial x}-t^2\frac {\partial^2 G(x,t)}{\partial x \partial t}=x^2+P_2(x)t+P_3(x)t^2+P_4(x)t^3+....\tag {7}$$
$$xt^2\frac {\partial G(x,t)}{\partial t}+x^2t\frac {\partial G(x,t)}{\partial x}-t^2\frac {\partial G(x,t)}{\partial x}-t^3\frac {\partial^2 G(x,t)}{\partial x \partial t}=x^2t+P_2(x)t^2+P_3(x)t^3+P_4(x)t^4+....\tag {8}$$
$$xt^2\frac {\partial G(x,t)}{\partial t}+x^2t\frac {\partial G(x,t)}{\partial x}-t^2\frac {\partial G(x,t)}{\partial x}-t^3\frac {\partial^2 G(x,t)}{\partial x \partial t}=x^2t+G(x,t)-x-x^2t\tag {9}$$
$$G(x,t)-xt^2\frac {\partial G(x,t)}{\partial t}+(t^2-x^2t)\frac {\partial G(x,t)}{\partial x}+t^3\frac {\partial^2 G(x,t)}{\partial x \partial t}=x\tag {10}$$
I could not get progress after here. Please help me how to get the generating function after this step.
UPDATE (03/23/2018): Thanks a lot for all answers. All answers are very helpful to solve the problem. I would like to write other property of the $P_{n}(x)$. I believe that it will be helpful to find the closed form of $P_n(x)$.
$$U(x,y)=\sum_{n=0}^\infty \frac{(xy)^{n}P_{n}(x+y)}{n!} $$
$$\frac {\partial U(x,y)}{\partial x}=\sum_{n=0}^\infty \frac{(xy)^{n}P'_{n}(x+y)}{n!}+y \sum_{n=0}^\infty \frac{(xy)^{n}P_{n+1}(x+y)}{n!} $$
$$\frac {\partial U(x,y)}{\partial y}=\sum_{n=0}^\infty \frac{(xy)^{n}P'_{n}(x+y)}{n!}+x \sum_{n=0}^\infty \frac{(xy)^{n}P_{n+1}(x+y)}{n!} $$
We know that
$$\frac{x^2-y}{1-xy}=\cfrac{\sum_{n=0}^\infty \frac{y^{n}P_{n+1}(x)}{n!}}{\sum_{n=0}^\infty \frac{y^{n}P'_{n}(x)}{n!}} $$
Thus We can rewrite it as
$$\frac{(x+y)^2-xy}{1-xy(x+y)}=\frac{x^2+xy+y^2}{1-xy(x+y)}=\cfrac{\sum_{n=0}^\infty \frac{(xy)^{n}P_{n+1}(x+y)}{n!}}{\sum_{n=0}^\infty \frac{(xy)^{n}P'_{n}(x+y)}{n!}} $$
$$\frac {\partial U(x,y)}{\partial x}=\sum_{n=0}^\infty \frac{(xy)^{n}P'_{n}(x+y)}{n!}+y \frac{x^2+xy+y^2}{1-xy(x+y)}\sum_{n=0}^\infty \frac{(xy)^{n}P'_{n}(x+y)}{n!} $$ $$\frac {\partial U(x,y)}{\partial y}=\sum_{n=0}^\infty \frac{(xy)^{n}P'_{n}(x+y)}{n!}+x \frac{x^2+xy+y^2}{1-xy(x+y)}\sum_{n=0}^\infty \frac{(xy)^{n}P'_{n}(x+y)}{n!} $$
$$\frac {\partial U(x,y)}{\partial x}/\frac {\partial U(x,y)}{\partial y}=\frac {1-xy(x+y)+y(x^2+xy+y^2)}{1-xy(x+y)+x(x^2+xy+y^2)}$$
$$(1+x^3)\frac {\partial U(x,y)}{\partial x}=(1+y^3)\frac {\partial U(x,y)}{\partial y}$$
$$\int_0^{U(x,y)} F(z)\mathrm dz=\int_0^{x} \frac{\;\mathrm dz}{1+z^3}+\int_0^{y} \frac{\;\mathrm dz}{1+z^3}$$
If we derivative both side for x
$$\frac{\partial U(x,y)}{\partial x} F(U(x,y))=\frac{1}{1+x^3}$$
$$\frac{1}{F(U(x,y))}=(1+x^3)\frac{\partial U(x,y)}{\partial x}$$ If we derivative both side for y $$\int_0^{U(x,y)} F(z)\mathrm dz=\int_0^{x} \frac{\;\mathrm dz}{1+z^3}+\int_0^{y} \frac{\;\mathrm dz}{1+z^3}$$
$$\frac{\partial U(x,y)}{\partial y} F(U(x,y))=\frac{1}{1+y^3}$$
$$\frac{1}{F(U(x,y))}=(1+y^3)\frac{\partial U(x,y)}{\partial y}$$
To find $F(z)$,We can put $y=0$
$$\int_0^{U(x,0)} F(z)\mathrm dz=\int_0^{x} \frac{\;\mathrm dz}{1+z^3}$$
$$U(x,0)=P_0(x)=x $$
$$\int_0^{x} F(z)\mathrm dz=\int_0^{x} \frac{\;\mathrm dz}{1+z^3}$$ $$F(z)=\frac{1}{1+z^3}$$ Thus the solution of $U(x,y)$ is $$\int_0^{U(x,y)} \frac{\;\mathrm dz}{1+z^3}=\int_0^{x} \frac{\;\mathrm dz}{1+z^3}+\int_0^{y} \frac{\;\mathrm dz}{1+z^3}$$
Let's define $g(x)$ , $g(0)=0$; $$x=\int_0^{g(x)} \frac{\;\mathrm dz}{1+z^3}$$
$$y=\int_0^{g(y)} \frac{\;\mathrm dz}{1+z^3}$$
$$x+y=\int_0^{g(x+y)} \frac{\;\mathrm dz}{1+z^3}$$
$$\int_0^{g(x+y)} \frac{\;\mathrm dz}{1+z^3}=\int_0^{g(x)} \frac{\;\mathrm dz}{1+z^3}+\int_0^{g(y)} \frac{\;\mathrm dz}{1+z^3}$$
$$g(x+y)=U(g(x),g(y))$$
$$\int_0^{U(g(x),g(y))} \frac{\;\mathrm dz}{1+z^3}=\int_0^{g(x)} \frac{\;\mathrm dz}{1+z^3}+\int_0^{g(y)} \frac{\;\mathrm dz}{1+z^3}$$
$$x=\int_0^{g(x)} \frac{\;\mathrm dz}{1+z^3}$$
$$g^{-1}(x)=\int_0^{x} \frac{\;\mathrm dz}{1+z^3}$$
$$g'(x)=1+g^3(x)$$
So we can write that $$g(g^{-1}(x)+g^{-1}(y))=U(x,y)=\sum_{n=0}^\infty \frac{(xy)^{n}P_{n}(x+y)}{n!} $$
Addition formula of $g(x)$ can be written as:
$$g(x+y)=\sum_{n=0}^\infty \frac{g^n(x)g^n(y)P_{n}(g(x)+g(y))}{n!} $$
$$\int_0^{g(x+y)} \frac{\;\mathrm dz}{1+z^3}=\int_0^{g(x)} \frac{\;\mathrm dz}{1+z^3}+\int_0^{g(y)} \frac{\;\mathrm dz}{1+z^3}$$
If a closed form of $P_n(x)$ can be found, We can write a closed form addition formula for $g(x)$ like $\tan(x)$
You can first calculate $ b_{n+2}$ from $ b_{n+2}=2nb_{n+1}-a_{n}(n+1)(n+1) $. Let $r_{n+1} = -a_{n}(n+1)(n+1) = -(n+1)^2 \frac{(2n-1)!}{2^{n-1}(n-1)!}$ then, by recursively applying the equation,
$$ b_{n+2}= r_{n+1} + 2nb_{n+1} = r_{n+1} + 2n (r_{n} + 2(n-1) ( \cdots ( r_{2} +2b_{2}) \cdots ) \\ = r_{n+1} + 2n r_{n} + 2^2 n(n-1) r_{n-1} + \cdots + 2^{n-1}n(n-1)\cdots(3)(2)(r_{2} +2b_{2})\\ = 2^{n}n!b_{2} + r_{n+1} + \sum_{k=2}^{n} r_k 2^{n+1-k}(k)(k+1)\cdots(n) \\ = 2^{n}n!b_{2} + r_{n+1} + \sum_{k=2}^{n} r_k 2^{n+1-k}\frac{n!}{(k-1)!} \\ = - 2^{n}n! - \sum_{k=2}^{n+1} 2^{n+1-k}\frac{n!}{(k-1)!} k^2 \frac{(2k-3)!}{2^{k-2}(k-2)!} = \\ - \frac{ (n^2 + 4 n + 5) (2 n + 1)!}{5 n! 2^n } $$ where the last step was done with the help of Wolfram Alpha.
Now, having obtained a closed formula for the $b_n$, you can use the very same recursive application method with the equation $c_{n+2}=(2n-3)c_{n+1}-b_{n}(n+1)(n-2)$. This will give you a closed formula for the $c_n$. Continue in this way for $d_n$ etc. Hence you obtain your full $P_n$.
Note that this indeed works since all recursive equations are of the same type $a^{k+1}_{n+2}=(2n-3(k-1))a^{k+1}_{n+1}-a^{k}_{n}(n+1)(n+1-3(k-1))$ where $a^{k}$ stands for the $k$-th letter of the alphabet.
I conjecture that the result will be, with polynomials $p^{k}(n) $, $$ a^{k}_{n+2} = p^{k}(n) \frac{(2(n+k-1)-1)!}{2^{n-2+k}(n-2+k)!} $$ This holds with $p^{1}(n) =1$ and $p^{2}(n) = - \frac{n^2 + 4 n + 5}{5}$