I need to evaluate an integral that involves the Jacobi Theta Function $\vartheta_3(z,q)$ defined by MathWorld as $$\vartheta_3(z,q)=\sum_{n\in\mathbb{Z}}q^{n^2}e^{2inz}.$$ Specifically, I wish to evaluate $$\int_0^1 q^{s-1} \vartheta^2_3(0,q) dq.$$
If that is possible, I would also like to do the same for other powers of $\vartheta_3(q)$ $$\int_0^1 q^{s-1} \vartheta^n_3(0,q) dq.$$
In this answer, I see that it is possible to evaluate this integral for $n=1$ to be $$\int_0^1 q^{s-1} \vartheta_3(0,q) dq=\frac{\pi}{\sqrt{s}}\coth(\pi x)=\sum_{n\in\mathbb{Z}} \frac{(-1)^n \cos(\pi n)}{n^2+s}.$$ This was done by recognizing the Fourier Series $$\frac{\pi}{x}\coth(\pi x)=\sum_{n\in\mathbb{Z}} \frac{(-1)^n \cos(\pi n)}{n^2+x^2}.$$