EDIT
After a long search, it seems that the solution is related to Jacobi elliptical functions.
For instance, if we try using this itegral representation
$$\boxed{\frac{1}{m^2+ n^2}=\int_{0}^{\infty}e^{-(m^2+n^2)t}dt}$$
We end up with sums of the following form, which as far as I found, are related to Jacobi elliptical functions.
$$\sum_{m=1}^{\infty}e^{-m^2t}$$
Another strategy would be starting with the following identity
$$\boxed{\sum_{n=1}^{\infty}\frac{(-1)^n}{m^2+n^2}=\frac{\pi \mathrm{csch}(\pi m)}{2m}-\frac{1}{2m^2}}$$
Also leads to evaluate a sum of the form below, which also belongs to the elliptical functions family
$$\sum_{m=1}^{\infty}\frac{1}{m \sinh(\pi m)}$$
Even the infinite product $$\prod_{k=1}^{\infty} \Big(1+e^{-\pi k2} \Big)$$
seems to be related to these special functions!
First attempt
$$\boxed{\sum_{n=1}^{\infty}\sum_{m=1}^{\infty}\frac{(-1)^{n-1}}{n^2+m^2}=\frac{\pi^2}{24}+\frac{\pi \ln(2)}{8}}$$
Consider
$$S=\sum_{n,m=1}^{\infty}\frac{(-1)^{n-1}}{n^2+m^2}$$
$$S=-\sum_{n=1}^{\infty}(-1)^n\sum_{m=1}^{\infty}\frac{1}{n^2+m^2}$$
Recall
$$\boxed{\sum_{m=1}^{\infty}\frac{1}{n^2+m^2}=\frac{\pi \coth(\pi n)}{2n}-\frac{1}{2n^2}}$$
$$S=-\sum_{n=1}^{\infty}(-1)^n\frac{\pi \coth(\pi n)}{2n}-\frac{1}{2}\sum_{n=1}^{\infty}\frac{(-1)^{n-1}}{n^2}$$
$$S=-\frac{\pi}{2}\sum_{n=1}^{\infty}(-1)^n\frac{ \coth(\pi n)}{n}-\frac{\pi^2}{24}$$
Also
$$\boxed{\coth(\pi n)-1=\frac{2}{e^{2 \pi n}-1}}$$
$$S=-\frac{\pi}{2}\sum_{n=1}^{\infty}\frac{(-1)^n}{n} \bigg\{\frac{2}{e^{2 \pi n}-1}+1 \bigg\}-\frac{\pi^2}{24}$$
$$S=-{\pi}\sum_{n=1}^{\infty}\frac{(-1)^n}{n} \bigg\{\frac{1}{e^{2 \pi n}-1}\bigg\}-\frac{\pi}{2}\sum_{n=1}^{\infty}\frac{(-1)^n}{n}-\frac{\pi^2}{24}$$
$$S=-{\pi}\sum_{n=1}^{\infty}\frac{(-1)^n}{n} \bigg\{\frac{1}{e^{2 \pi n}-1}\bigg\}+\frac{\pi \ln(2)}{2}-\frac{\pi^2}{24}$$
$$S=-{\pi}\sum_{n=1}^{\infty}\frac{(-1)^ne^{-2 \pi n}}{n}\sum_{k=0}^{\infty}e^{-2 \pi n k} +\frac{\pi \ln(2)}{2}-\frac{\pi^2}{24}$$
$$S=-\pi\sum_{k=0}^{\infty}\sum_{n=1}^{\infty}\frac{(-1)^ne^{-2 \pi n(k+1)}}{n}+\frac{\pi \ln(2)}{2}-\frac{\pi^2}{24}$$
$$S=\pi\sum_{k=1}^{\infty}\ln(1+e^{-2\pi k})+\frac{\pi \ln(2)}{2}-\frac{\pi^2}{24}$$
$$S=\pi\ln(\prod_{k=1}^{\infty}1+\big(e^{-\pi k}\big)^2)+\frac{\pi \ln(2)}{2}-\frac{\pi^2}{24}$$ From this point on, I can´t finish. Any help is welcome.
Second attempt
I tried the method suggest bellow by @NoName, but I still missing one factor $\frac{1}{4}$ before the $\log(2)$. I suspect that this method fails because $\sum_{m=1}^{\infty}\frac{1}{m}\sin(mt)=\frac{\pi}{2}-\frac{t}{2}$ is only valid betweem $0$ and $2 \pi$.
$$S=\sum_{n=1}^{\infty}(-1)^{n+1}\sum_{m=1}^{\infty}\frac{1}{n^2+m^2}$$
rewrite
$$\frac{1}{n^2+m^2}=\frac{1}{m}\int_{0}^{\infty}\sin(mt)e^{-nt}dt$$
$$S=\sum_{n=1}^{\infty}(-1)^{n+1}\sum_{m=1}^{\infty}\frac{1}{m}\int_{0}^{\infty}\sin(mt)e^{-nt}dt$$
$$S=\int_{0}^{\infty}\sum_{n=1}^{\infty}(-1)^{n+1}e^{-nt} \Big\{\sum_{m=1}^{\infty}\frac{1}{m}\sin(mt) \Big \}dt$$
$$S=\int_{0}^{\infty}\sum_{n=1}^{\infty}(-1)^{n+1}e^{-nt} \Big\{ \frac{\pi}{2}-\frac{t}{2} \Big \}dt$$
$$S=\sum_{n=1}^{\infty}(-1)^{n+1}\int_{0}^{\infty}e^{-nt} \Big\{ \frac{\pi}{2}-\frac{t}{2} \Big \}dt$$
$$S=\sum_{n=1}^{\infty}(-1)^{n+1} \Big\{ \frac{\pi}{2n}-\frac{1}{2n^2}\Big \}$$
$$S=\frac{\pi}{2}\sum_{n=1}^{\infty} \frac{(-1)^{n+1}}{n}-\frac{1}{2}\sum_{n=1}^{\infty} \frac{(-1)^{n+1}}{n^2}$$
$$S=\frac{\pi \log(2)}{2}+ \frac{\pi^2}{24}$$