As a starting point, I suggest to look at this post
https://math.stackexchange.com/questions/1108246/double-sum-and-zeta-function
We can at least verify numerically that the sum is equal to
$$S(3)=\frac1{\Gamma(3)}\int_0^{\infty}\!\! t^2 \big(\theta_3(0,e^{-t})^2-1\big)\, \mathrm{d}t$$
With $\Gamma(3)=2$, we have
NIntegrate[t^2(EllipticTheta[3,0,Exp[-t]]^2-1),{t,0,Infinity}]/2
NSum[If[m == n == 0, 0, 1/(m^2 + n^2)^3],
{m, -Infinity, Infinity}, {n, -Infinity, Infinity}]
(*4.65891*)
Note, it is not easy to quickly evaluate the sum numerically, but with the integral representation it evaluates instantly.
Unfortunately MA does not know the general coefficient of the Lambert series expansion of $\theta_3(0,q)^2$. Thus, it cannot assist in derivation along the lines of the linked math.SE post.
However, if we do manual Lambert series expansion of
$$
\theta_3(0,q)^2=1+4\sum_{n=1}^\infty \frac{q^n}{1+q^{2n}},
$$
and subsequently expand
$$
\theta_3(0,q)^2-1=4\sum_{n=1}^\infty \sum_{m=0}^\infty (-1)^m q^nq^{2mn},
$$
MA is able to do the remaining Melin transform and a double sum.
4/Gamma[3] Sum[(-1)^m Integrate[t^2 q^n q^(2m n)/.q->Exp[-t],
{t,0,Infinity}],
{n,1,Infinity},{m,0,Infinity}]
(* Zeta[3](Zeta[3,1/4]-Zeta[3,3/4])/16 *)
We may want to verify the prefactor of the zeta-function
FullSimplify[(Zeta[3,1/4]-Zeta[3,3/4])/16]
(* Pi^3/8 *)
General solution
If we can establish that
$$S(s)\equiv\sum_{i\neq j}\frac{1}{(i^2+j^2)^s}=
\frac1{\Gamma(s)}\int_0^{\infty}\!\! t^{s-1} \big(\theta_3(0,e^{-t})^2-1\big)\, \mathrm{d}t\\
=\frac{4}{\Gamma(s)}\sum_{n=1}^{\infty} \sum_{m=0}^{\infty} \int_0^{\infty}\!\! t^{s-1} \exp\big\{-n(2m+1)t\big\}\,\mathrm{d}t
$$
MA quickly returns the answer
4/Gamma[s]Sum[(-1)^m Integrate[t^(s-1) q^n q^(2m n)/.q->Exp[-t],{t,0,Infinity}],{n,1,Infinity},{m,0,Infinity}]
Piecewise
instead ofIf
doesn't seem to work either:Piecewise[{{0, n == m == 0}, {1/(m^2 + n^2)^3, True}}]
$\endgroup$NSum
produces the correct numeric result. $\endgroup$