Hint $\, $ The set $\rm\,I = a\,\Bbb Z + b\,\Bbb Z\subset \Bbb Z\,$ is closed under $\rm\color{#C00}{addition}$ and $\rm\color{#0A0}{scalings}$ by $\rm\,\color{#0A0}n\in \Bbb Z.\:$ Indeed, $\rm\,ai\!+\!bj \color{#C00}{\bf +} (ai'\!+\!bj') = a(i\!+\!i')+b(j\!+\!j')\in S,\ $ and $\rm\,\ \color{#0A0}{\bf n}\,(ai+bj) = a(ni) + b(nj)\in S.$
Therefore, by scaling closure $\rm\,r_n \in I\,\Rightarrow\, \color{#0A0}{q_{n+1}} r_n\in I.\,$ Adding $\rm\,r_{n-1}\in I\,$ to this yields $\rm\,r_{n+1}\in I,$ by addition closure, i.e.
$$\rm r_n,r_{n-1}\in I\ \Rightarrow\ r_{n+1} = \color{#0A0}{q_{n+1}} r_n \color{#C00}{\bf +} r_{n-1} \in I\quad $$
Thus the induction step follows simply because successive remainders are computed from prior remainders $\rm\in I$ using operations that remain in $\rm\,I.$
Remark $\ $ We can simplify in the ring $\rm\,\Bbb Z.\,$ Integer scalings are repeated additions or subtractions, so if $\rm\,I\,$ is closed under subtraction then it is also closed under addition and scalings. In group/ring theory language: $\rm\ I\,$ is a ideal of the ring $\rm\,\Bbb Z$ $\!\iff\!$ $\rm I\,$ is an additive subgroup of the additive group $\rm\,\Bbb Z\ $ (since, by the subgroup test, subgroups are precisely the subsets closed under subtraction).
The essence of the Bezout identity for the gcd is: subgroups of $\rm\,\Bbb Z\,$ are cyclic (or ideals are principal), generated by their least positive element $\rm\,d,\,$ since closed under subtraction implies closed under mod or remainder (obtained by repeated subtraction, i.e. the Division Algorithm). So we conclude $\rm\,d\,$ divides all $\rm\,i\in I\,$ (else $\rm\,i\ mod\ d \in I\,$ is nonzero and smaller than $\rm\,d).\,$ That is essentially the inductive step of the Euclidean algorithm. It generalizes to "Euclidean" rings which enjoy division with "smaller" remainder, e.g. polynomials over a field, where smaller means smaller degree.
Nonempty subsets of a ring closed under addition and scaling by ring elements are known as ideals. If you study university algebra you will learn that ideals play a fundamental role in number theory and algebra. Ideals abstract the innate structure that governs many proofs in elementary number theory, e.g. denominator ideals and order ideals.