I wasn't able to find a closed-form for this, but I was able to simplify it to
$$\frac{\pi^2}{48} \left( 2\pi^2 \ln(2) - 7\zeta(3) \right) - \sum_{n=1}^{\infty} \frac{2^{2n-2} H_n}{n^4 \binom{2n}{n}}$$
Evaluate $$I = \int_0^1\frac{\text{Li}_2(x^2)\arcsin^2(x)}{x}dx$$
Expanding $\arcsin^2(x)$ using the power series yields:
$$\int_0^1 \text{Li}_2(x^2) \sum_{n=1}^{\infty} \frac{2^{2n-1}}{n^2 \binom{2n}{n}} x^{2n-1} dx$$
Swapping integration and sum:
$$\sum_{n=1}^{\infty} \frac{2^{2n-1}}{n^2 \binom{2n}{n}}\int_0^1 \text{Li}_2(x^2) x^{2n-1} dx$$
Making the substitution $u = x^2$:
$$\sum_{n=1}^{\infty} \frac{2^{2n-2}}{n^2 \binom{2n}{n}}\int_0^1 \text{Li}_2(u) u^{n-1}du$$
The inner integral would be
$$\int_0^1 \sum_{k=1}^{\infty} \frac{u^k}{k^2} u^{n-1} du = \sum_{k=1}^{\infty} \frac{1}{k^2} \frac{1}{k+n} = \frac{\pi^2}{6n} - \frac{H_n}{n^2}$$
Which makes the overall integral into $$\sum_{n=1}^{\infty} \frac{2^{2n-2}}{n^2 \binom{2n}{n}}\left(\frac{\pi^2}{6n} - \frac{H_n}{n^2}\right)$$
Or splitting the sums up: $$\frac{\pi^2}{24}\sum_{n=1}^{\infty} \frac{2^{2n}}{n^3 \binom{2n}{n}} - \sum_{n=1}^{\infty} \frac{2^{2n-2} H_n}{n^4 \binom{2n}{n}}$$
Let $f(x) = \sum_{n=1}^{\infty} \frac{x^{2n}}{n^3 \binom{2n}{n}}$. Then $f'(x) = 2\sum_{n=1}^{\infty} \frac{x^{2n-1}}{n^2 \binom{2n}{n}} = \frac{4\arcsin^2\left( \frac{x}{2} \right)}{x}$
Then the integral to solve for the first sum is $$\int_{0}^{2}\frac{4\arcsin^{2}\left(\frac{x}{2}\right)}{x}dx = 4\int_{0}^{1}\frac{\arcsin^{2}\left(x\right)}{x}dx$$
Making the substitution $x \to \arcsin(x)$ yields $$4\int_0^{\pi/2} x^2 \cot(x) dx$$
This can be done by complex methods (substituting $u = e^{2ix}-1$ and then doing partial fractions) to get the indefinite integral in closed form. Then the integral would be $$\pi^2 \ln(2) - \frac{7}{2}\zeta(3)$$
This then makes the original integral to $$\frac{\pi^2}{48} \left( 2\pi^2 \ln(2) - 7\zeta(3) \right) - \sum_{n=1}^{\infty} \frac{2^{2n-2} H_n}{n^4 \binom{2n}{n}}$$
I will start from your second attempt: $$I=\sum_{n=1}^\infty\frac{1}{n^2}\underbrace{\int_0^{\pi/2}x^2\cot x \sin^{2n}(x) dx}_{I_n}$$
Using integration by parts, $I_n$ is equal to $$I_n = x^2 \frac{\sin^{2n}(x)}{2n} \Big|^{\pi/2}_0 - \int_0^{\pi/2} x \frac{\sin^{2n}(x)}{n} dx$$
Which simplifies to $$\frac{\pi^2}{8n} - \frac{1}{n} \int_0^{\pi/2} x\sin^{2n}(x) dx$$
Splitting the $\sin^{2n}(x)$ as $\sin^{2n-1}(x)\sin(x)$ so that I can integrate by parts:
$$J_n = \int_0^{\pi/2} x\sin^{2n}(x) dx = \int_0^{\pi/2} \sin^{2n-1}(x) x \sin(x)dx$$
Integrating by parts:
$$1-\int_{0}^{\frac{\pi}{2}}\left(-x\cos\left(x\right)+\sin\left(x\right)\right)\left(2n-1\right)\cos\left(x\right)\sin\left(x\right)^{\left(2n-2\right)}dx$$
Separating and evaluating gives the relation $$J_n =
\frac{1}{2n} - (2n-1) J_n + (2n-1)J_{n-1}$$
which has the solution $$J_n = \frac{1}{4n^2} + \frac{2n-1}{2n} J_{n-1}$$ with $J_0 = \frac{\pi^2}{8}$
The explicit solution to this is $$\frac{\binom{2n}{n}}{4^n}\left(\frac{\pi^2}{8} + \sum_{m=1}^{n} \frac{4^{m-1}}{\binom{2m}{m} m^2}\right)$$
Which then makes $I_n$ $$\frac{\pi^2}{8n} - \frac{1}{n} \frac{\binom{2n}{n}}{4^n}\left(\frac{\pi^2}{8} + \sum_{m=1}^{n} \frac{4^{m-1}}{\binom{2m}{m} m^2} \right)$$
The original integral/sum is then $$\sum_{n=1}^{\infty} \frac{1}{n^2} \left( \frac{\pi^2}{8n} - \frac{1}{n} \frac{\binom{2n}{n}}{4^n}\left(\frac{\pi^2}{8} + \sum_{m=1}^{n} \frac{4^{m-1}}{\binom{2m}{m} m^2} \right) \right)$$
This can be simplified to $$\frac{\pi^2}{8} \zeta(3) - \frac{\pi^2}{8}\underbrace{\sum_{n=1}^{\infty} \frac{\binom{2n}{n}}{4^n n^3}}_{S_1} - \underbrace{\sum_{n=1}^{\infty}\frac{\binom{2n}{n}}{4^n n^3} \sum_{m=1}^{n} \frac{4^{m-1}}{\binom{2m}{m} m^2}}_{S_2} \tag 1$$
Focusing on $S_2$, $\sum_{n=1}^{\infty}\frac{\binom{2n}{n}}{4^n n^3} \sum_{m=1}^{n} \frac{4^{m-1}}{\binom{2m}{m} m^2}$: This can be rewritten as $$\sum_{m=1}^{\infty} \frac{4^{m-1}}{\binom{2m}{m} m^2}\left(\sum_{n=1}^{\infty}\frac{\binom{2n}{n}}{4^n n^3} - \sum_{n=1}^{m-1} \frac{\binom{2n}{n}}{4^n n^3} \right) = S_1\underbrace{\sum_{m=1}^{\infty} \frac{4^{m-1}}{\binom{2m}{m} m^2}}_{S_3} - \sum_{m=1}^{\infty} \frac{4^{m-1}}{\binom{2m}{m} m^2}\sum_{n=1}^{m-1} \frac{\binom{2n}{n}}{4^n n^3} $$
$S_3$ can be simplified using the series expansion of $\arcsin^2(x)$ to get $S_3 = \frac{\pi^2}{8}$
This then simplifies the overall integral/sums to $$\frac{\pi^2}{8} \zeta(3) - \frac{\pi^2}{4}\sum_{n=1}^{\infty} \frac{\binom{2n}{n}}{4^n n^3} + \sum_{m=1}^{\infty} \frac{4^{m-1}}{\binom{2m}{m} m^2}\sum_{n=1}^{m-1} \frac{\binom{2n}{n}}{4^n n^3} \tag 2$$
Using Mathematica, I found $S_1 = \frac{-\pi^2 \ln(4) + \ln^3(4) + 12\zeta(3)}{6}$, but don't have a proof for this. I feel like there might be a proof of this somewhere on MSE, but unfortunately Approach0 is down right now (so I can't search as effectively).