Let's assume you mean "nonzero integers", otherwise the claim is obviously true (since $x=y=z=0$ satisfies the equation).
I would advise you to split the statement into two statements:
Statement 1:
If $n$ is even, then there exist integers $x,y,z$ such that $x^2+y^2=z^n$.
Statement 2:
If $n$ is odd, then there exist integers $x,y,z$ such that $x^2+y^2=z^n$.
Proof for statement $1$:
The statement is equivalent to
For all $k\in\mathbb N$, there exist integers $x,y,z$ such that $x^2+y^2=z^{2k}$.
which can be proven by induction.
For $k=1$, the statement should be easy to prove.
For $k\to k+1$, look at what happens to your equation when you multiply it by $z^2$.
With statement $2$, again, you can rewrite it to
For all $k\in\mathbb N$, there exist integers $x,y,z$ such that $x^2+y^2=z^{2k - 1}$.
which is even simpler to prove for $k=1$, while the $k\to k+1$ step is practically identical to the previous statement.