Trying out a few examples, let (i) $a=3, n=1, m=2, 3^2+1=10, 3^4-1=80, 10\mid 80$, (ii) $a=3, n=2, m=3, 3^4+1=82, 3^8-1=6560, \frac{6560}{82}= 80$.
To derive a proof, should derive $a^{2^n} +1$ as a factor of $a^{2^m} -1$, & as $m\gt n$, so $a^{2^m}=a^{2^n}.a^{2^{(n-m)}}$, so $a^{2^m}-1=a^{2^n}.a^{2^{(n-m)}}-1$.
It is possible to state the next step, based on something like $a^2-1=(a-1)(a+1)$, but lack familiarity with such type of polynomial (if chosen the correct word) division.
Also, would request a generalized answer, for different bases for powers of $n,m$.