Let $\mathcal{H^s}$ be the s-dimensional outer Hausdorff measure.
For all $t \in (0,n)$ there is none countable cover $\lbrace F_i \rbrace^\infty_{i=1}$
of $\mathbb{R^n}=\bigcup_{i=1}^{\infty} F_{i}$ with $\mathcal{H^s}(F_i)<\infty$
I used the contradiction::
If it would be possible then
$n=$dim$_H(\mathbb{R^n})=$sup dim$_H(F_i)\leq s<n$
So there can't be such a cover.
Can it be proved like this or is there something to improve?
That looks fine, provided that you can prove $$\dim_H \left( \bigcup_i F_i \right) = \sup_i \dim_H(F_i).$$ It shouldn't be a difficult proof.