Let $z=e^{i \theta}$, then $d\theta=dz/(i z)$ and $\sin{\theta} = (z-1/z)/(2 i)$. Then the integral becomes
$$\frac12\frac{-i}{(2 i)^{2 n}} \oint_{|z|=1} \frac{dz}{z} \left( z-z^{-1}\right)^{2 n} =\frac12 \frac{-i}{(2 i)^{2 n}} \oint_{|z|=1} dz \frac{(z^2-1)^{2 n}}{z^{2 n+1}}$$
As you can see, you have a pole of order $2 n+1$ in the integrand. To apply the residue Theorem, you need to evaluate $i 2 \pi$ times the residue at the pole at $z=0$, which is
$$\frac{\pi}{(2 i)^{2 n}} \frac{1}{(2 n)!} \left[\frac{d^{2 n}}{dz^{2 n}}\left ( z^2-1\right)^{2 n}\right]_{z=0}$$
Now, by Rodrigues' formula for Legendre polynomials, the latter expression is
$$\left[\frac{d^{2 n}}{dz^{2 n}}\left ( z^2-1\right)^{2 n}\right]_{z=0} = 2^{2 n} (2n)! P_n(0)$$
ADDENDUM
We can also use the binomial theorem to extract an explicit expression for the residue. Note that
$$\left ( z^2-1\right)^{2 n} = \sum_{k=0}^{2 n} \binom{2 n}{k} z^{2 k} (-1)^k$$
Taking the $2 n$th derivative and setting $z=0$ leaves only the $n$th term in the sum, so we get
$$\left[\frac{d^{2 n}}{dz^{2 n}}\left ( z^2-1\right)^{2 n}\right]_{z=0} = (-1)^n \frac{(2 n)!^2}{(n!)^2}$$
Therefore, the integral is
$$\frac{\pi}{2^{2 n}} \binom{2 n}{n}$$