To elaborate on Librandi's comment from 2014: all these numbers, even if prime in Z, are sure not to be prime in Z[sqrt(2)], since a(n) can at least be factored as ((2^(2n + 1) - 1) - (2^(2n) - 1)*sqrt(2))((2^(2n + 1) - 1) + (2^(2n) - 1)*sqrt(2)). For example, 7 = (3 - sqrt(2))(3 + sqrt(2)), 31 = (7 - 3*sqrt(2))(7 + 3*sqrt(2)), 127 = (15 - 7*sqrt(2))(15 + 7*sqrt(2)). - Alonso del Arte, Oct 17 2017
a(n) = numerator(zeta_star({2}_(n + 1))/zeta(2*n + 2)) where zeta_star is the multiple zeta star values and ({2}_n) represents (2, ..., 2) where the multiplicity of 2 is n. - Roudy El Haddad, Feb 22 2022
MAPLE
seq(2*4^n-1, n = 0..22); # Peter Luschny, Aug 17 2011