We use a result that can be proven fairly easily and in fact has already been posted here at MSE. But let's assume we haven't seen this post, and try to rediscover it...
claim: If $gcd(a,b) = 1$, then $gcd(a-b,a+b) = 1$ or $2$. This you can prove.
If $d = gcd(a-b,a+b)$, then if $d > 1$, you need to prove $d = 2$. If $d$ is odd, then $d|(a+b) + (a-b) = 2a$, and $d|(a+b) - (a-b) = 2b$, then $d|a$, and $d|b$, and then $d|(a,b) = 1$. So $d = 1$, contradiction. Thus $d$ is even, and write $d = 2d'$, then: $2d'|2a$, and $2d'|2b$ implying $d'|a$, and $d'|b$. So: $d'|(a,b) = 1$. Thus $d' = 1$, and this gives $d = 2d' = 2\times 1 = 2$.
Using this claim, we divide the problem in $2$ cases:
Case 1: $gcd(a-b,a+b) = 1$, then we need to prove: $gcd(a+b,a^2 + b^2) = 1$.
Let $d = gcd(a+b,a^2+b^2)$, then $d|a+b$, so $d|(a+b)^2$. But $d|a^2 + b^2$, so $d|(a+b)^2 - (a^2+b^2) = 2ab = (a^2+b^2) - (a-b)^2$. So: $d|(a-b)^2$. Thus: $d|gcd((a-b)^2,(a+b)^2) = 1^2 = 1$. Thus: $d = 1$.
Case 2: $gcd(a-b,a+b) = 2$, then we prove: $d = gcd(a+b,a^2 + b^2) = 2$.
Then $a-b = 2m$, and $a+b = 2n$ with $m$, and $n$ are integers such that $gcd(m,n) = 1$. Then using the above argument in case 1, $d|gcd(4m^2,4n^2) = 4\cdot gcd(m^2,n^2) = 4\cdot 1^2 = 4$. So if:
a) $d = 1$, then case 1 gives $1 = gcd(a+b,(a-b)^2) = gcd(2n, (2m)^2) = 2\cdot gcd(n,2m^2) \geq 2$. Contradiction.
b) $d = 4$, then $4|a+b$, and $4|a^2 + b^2$. This means both $a$ and $b$ must be even. So: $a = 2k$, and $b = 2s$. So: $a - b = 2(k - s)$, and $a + b = 2(k + s)$, and $2 = gcd(a-b,a+b) = gcd(2(k-s), 2(k+s)) = 2\cdot gcd(k-s,k+s)$. So: $gcd(k-s,k+s) = 1$. Also:
$4 = gcd(a+b,a^2+b^2) = gcd(2(k+s),4k^2 + 4s^2) = 2\cdot gcd(k+s,2(k^2+s^2))$. Thus:
$2 = gcd(k+s,2(k^2+s^2))$.
But from case 1 apply to $k$, and $s$ we have: $gcd(k-s,k+s) = 1 \to gcd(k+s, k^2+s^2) = 1$ . But $2|k+s$, means that $k+s$ is even, which implies $k^2 + s^2 = (k+s)^2 - 2ks$ is also even. So we can let $k+s = 2p$, and $k^2+s^2 = 2q$. Then: $1 = gcd(k+s,k^2+s^2) = gcd(2p,2q) = 2\cdot gcd(p,q) \geq 2$. Contradiction again.
So: $d = 2$, completing the proof.