It's not true if $a$ is allowed to be complex. For example, if $a$ is a root of $z^4 - z^2 + 1$ we have $a^2 + a^{-2} = 1$ and $a^3 + a^{-3} = 0$ but $a + a^{-1} = \pm \sqrt{3}$.
EDIT: Using the symmetries $a \to 1/a$ (leaving $S_k$ invariant) and $a \to -a$ (with $S_k \to (-1)^k S_k$), we may assume $a \ge 1$. Of course if $a = 1$, all $S_k = 2$ are integers, so we're reduced to the case $a > 1$. Moreover we may assume $n > 1$, since if $a + 1/a$ is an integer so are all $a^k + 1/a^k$. Of course all $S_k > 0$.
Consider the polynomials $P(z) = z^{2n} - S_n z^n + 1$ and $Q(z) = z^{2n+2} - S_{n+1} z^{n+1} + 1$. $a$ is a root of both of these. In particular it is an algebraic integer. But if $a$ is rational, it must be an integer, and then (since $a > 1$) it would be impossible to have $S_n$ an integer.
Now both $P(z)$ and $Q(z)$ are multiples of the minimal polynomial $M(z)$ of $a$, which is at least quadratic.
If $z$ is a root of $P(z)$, then so is $\omega z$ where $\omega$ is any $n$'th root of $1$. Thus the roots of $P(z)$ are $a \omega$ and $a^{-1} \omega$ for the $n$'th roots $\omega$ of $1$. Similarly, the roots of $Q(z)$ are $a \zeta$ and $a^{-1} \zeta$ for the $n+1$'th roots $\zeta$ of $1$. But except for $1$, an $n$'th root of $1$ is not an $n+1$'th root of $1$, so the common roots of $P(z)$ and $Q(z)$ are $a$ and $1/a$. Thus these are the only possible roots of $M(z)$, and $M(z)$ is quadratic: in fact $M(z) = (z-a)(z-1/a)$, and thus $S_1 = a + 1/a$ must be an integer.