It appears that we can obtain a simple proof of the proposed
asymptotics using harmonic sum techniques when $\Re(z) = \sigma > 0$.
To see this, introduce the sum
$$S(x; z) = \sum_{n\ge 1} \frac{(nx)^z}{\exp(nx)}$$
so that $$\Xi(z) = S(1; z).$$
The sum term is harmonic and may be evaluated by inverting its Mellin
transform.
Recall the harmonic sum identity
$$\mathfrak{M}\left(\sum_{k\ge 1} \lambda_k g(\mu_k x);s\right) =
\left(\sum_{k\ge 1} \frac{\lambda_k}{\mu_k^s} \right) g^*(s)$$
where $g^*(s)$ is the Mellin transform of $g(x).$
In the present case we have
$$\lambda_k = 1, \quad \mu_k = k \quad \text{and} \quad
g(x) = \frac{x^z}{\exp(x)}.$$
We need the Mellin transform $g^*(s)$ of $g(x)$ which is
$$\int_0^\infty \frac{x^z}{\exp(x)} x^{s-1} dx
= \int_0^\infty e^{-x} x^{s+z-1} dx.$$
No additional computation is necessary as this integral is the
defining integral of the gamma function
$$\Gamma(s) = \int_0^\infty e^{-x} x^{s-1} dx$$
so that
$$g^*(s) = \Gamma(s+z)$$
with fundamental strip $\langle -\sigma, +\infty \rangle.$
It follows that the Mellin transform $Q(s)$ of the harmonic sum $S(x; z)$
is given by
$$Q(s) = \zeta(s) \Gamma(s+z)
\quad\text{because}\quad
\sum_{k\ge 1} \frac{\lambda_k}{\mu_k^s} = \zeta(s).$$
The Mellin inversion integral here is
$$\frac{1}{2\pi i} \int_{3/2-i\infty}^{3/2+i\infty} Q(s)/x^s ds$$
which we evaluate by shifting it to the left for an expansion about
zero.
The line for the integral is chosen in the intersection of the
fundamental strip of $g^*(s)$ and the half-plane of convergence of
$\zeta(s)$, which is $\Re(s)>1.$
Collecting the residues from the poles we first obtain that
$$\mathrm{Res}\left(Q(s)/x^s; s=1\right) = \frac{1}{x} \Gamma(1+z).$$
The remaining poles are from the gamma function. Keeping in mind that
$\Re(z) = \sigma > 0$ we find with $q\ge 0$
$$\mathrm{Res}\left(Q(s)/x^s; s=-z-q\right) =
x^{z+q} \frac{(-1)^q}{q!} \zeta(-z-q).$$
We conclude that
$$\Xi(z) = S(1; z) \sim
\Gamma(1+z) + \sum_{q\ge 0} \frac{(-1)^q}{q!} \zeta(-z-q).$$
For $z=m$ with $m$ a positive integer this simplifies to
$$\Xi(m) \sim m!
- \sum_{q\ge 0} \frac{(-1)^q}{q!} \frac{B_{m+q+1}}{m+q+1}.$$
We may answer the original question in the affirmative, it is true
that
$$\Xi(z) \sim \Gamma(1+z).$$
This MSE link points to another interesting Mellin transform computation.
Addendum. The convergence properties of the original sum as proposed above are quite interesting, there is an initial segment where it appears to diverge before it then begins to converge. This observation just in case someone decides to study the numerics of this problem.