let's do some approximations...
Recall Euler's equation says that e^{\pm i\alpha}=\cos \alpha \pm i \sin \alpha and hence our integrand becomes
e^{-x^2 \pm \frac{i}{x}} = e^{-x^2}e^{\pm \frac{i}{x}} = e^{-x^2} \left[ \cos \left( \frac{1}{x}\right) \pm i \sin \left( \frac{1}{x}\right) \right]
so that the integral becomes
\int_{0}^{\infty}e^{-x^2\pm \frac{i}{x}}dx = \int_{0}^{\infty}e^{-x^2} \cos \left( \frac{1}{x}\right) \pm i \int_{0}^{\infty}e^{-x^2} \sin \left( \frac{1}{x}\right) dx
since -1\leq \cos \left( \frac{1}{x}\right) \leq 1 is true for all x, and hence 0\leq \left| \cos \left( \frac{1}{x}\right) \right| \leq 1 then multiplying by e^{-x^2} gives
0\leq \left| e^{-x^2} \cos \left( \frac{1}{x}\right) \right| \leq e^{-x^2}
and similarly for the sine term we have
0\leq \left| e^{-x^2} \sin \left( \frac{1}{x}\right) \right| \leq e^{-x^2}
now to prove convergence of the integral, note that it is convergent if its real and imaginary components are convergent,
\left| \int_{0}^{\infty}\Re {e^{-x^2\pm \frac{i}{x}}}dx \right| = \left| {\int_{0}^{\infty}e^{-x^2} \cos \left( \frac{1}{x}\right) dx} \right| \leq \int_{0}^{\infty}\left| e^{-x^2} \cos \left( \frac{1}{x}\right) \right| dx \leq \int_{0}^{\infty}e^{-x^2} dx = \frac{\sqrt{\pi}}{2}
which proves that the real component is absolutely convergent (and hence convergent). By similar reasoning, the imaginary part is also \leq \frac{\sqrt{\pi}}{2} . Now
\left| \int_{0}^{\infty}e^{-x^2\pm \frac{i}{x}}dx \right| \leq \int_{0}^{\infty}\left| e^{-x^2\pm \frac{i}{x}}\right| dx = \int_{0}^{\infty}\left| e^{-x^2}\cos \left( \frac{1}{x}\right) \pm i e^{-x^2}\sin \left( \frac{1}{x}\right) \right| dx
\leq \int_{0}^{\infty} \left| e^{-x^2}\cos \left( \frac{1}{x}\right) \right| dx + \int_{0}^{\infty}\left| e^{-x^2}\sin \left( \frac{1}{x}\right) \right| dx \leq \frac{\sqrt{\pi}}{2} + \frac{\sqrt{\pi}}{2} = \sqrt{\pi}
where the triangle rule was used to obtain the second inequality, the given integral, namely \int_{0}^{\infty}e^{-x^2\pm \frac{i}{x}}dx, has been shown to be absolutely convergent; also, we have the upper bound of \sqrt{\pi} for its magnitude, that is
\left| \int_{0}^{\infty}e^{-x^2\pm \frac{i}{x}}dx \right| \leq \sqrt{\pi}
which is a nice consequence of our approach.