Let $X$ be the Riemann surface of $w^{2} \ =\text{sin} \ z$ in $ \mathbb{C}^{2}$, i.e. let $X = \{(z,w): w^2 = \text{sin} \ z\}$.
The Riemann surface structure on $X$ is obtained by paramertizing by $z$ at all places where $w \ne 0$ and parametrizing by $w$ at places where $w=0$.
The question is to show is not the interior of a compact surface-with-boundary.
My attempt:
Consider the holomorphic function $\displaystyle F:X\rightarrow \mathbb{C}$ given by $\displaystyle F:( z,w)\rightarrow w$. Now assume there is a compact surface-with-boundary $\displaystyle \tilde{X}$ such that interior of $\displaystyle \tilde{X}$ is $\displaystyle X$. It is natural to expect that $\displaystyle F$ extends to an holomorphic function $\displaystyle \tilde{F} :\tilde{X} \ \rightarrow \mathbb{C} P^{1}$.
Now observe $\displaystyle \tilde{F}^{-1}( 0)$ has a limit point as it contains an infinite sequence $\displaystyle \{( n\pi ,0)\}_{n=1}^{\infty }$ in $\displaystyle \tilde{X}$. Holomorphicity of $\displaystyle \tilde{F}$ forces $\displaystyle \tilde{F} $ to be a constant.
This is a contradiction as $\displaystyle F$ is not constant.
The issue with this proof is that there is no reason to believe that $\displaystyle F$ should have an extension $\displaystyle \tilde{F}$.


The thing to prove is that the surface $X$ has infinite topological type. Instead of your function $F$, I will consider the function $g(z,w)=z$ on $X$, which is (generically) 2-to-1. Critical values of this function are $z_n=\pi n$, $n\in {\mathbb Z}$ (the zeroes of the function $\sin(z)$).
Consider a sequence of closed disks $$ D_n=\bar{D}(0, \pi n + \frac{\pi}{2})\subset {\mathbb C}, $$ each containing $2n+1$ critical values of the function $g$ and no critical values on the boundary. Let $X_n:= g^{-1}(D_n)$. Then each $X_n$ has one boundary component (see below). Each critical value of $g$ will have exactly one preimage in $X$. By the Riemann-Hurwitz formula, $$ \chi(X_n)= 2\chi(D_n) - 2n-1= 1-2n. $$ Since $\partial X_n$ is connected, it follows that the genus of $X_n$ is $n$. (This calculation also shows that $\partial X_n$ cannot consist of 2 components and, since $g$ is 2-to-1, the higher number of boundary components is impossible.) Hence, $X$ has infinite genus and, therefore, is not homeomorphic to the interior of a compact surface.