If you want to evaluate the integral by means of complex integration, the simpler contour can also be used.
First, note that
$$I_0=\int_{-\infty}^\infty \frac{\sinh(az)}{\sinh(\pi z)}~\mathrm{d}z=\frac12\left(\int_{-\infty}^\infty \frac{e^{az}}{\sinh(\pi z)}~\mathrm{d}z-\int_{-\infty}^\infty \frac{e^{-az}}{\sinh(\pi z)}~\mathrm{d}z\right)=\frac12\left(I(a)-I(-a)\right)$$
where $I(a)$ is evaluated in the principal value sense.
Now let's consider the following closed rectangular contour $C$: $\,\,-R\to R\to R+i\to-R+i\to-R\,\,(R\to\infty)$, with added two small arches around $z=0$ and $z=i$ (clockwise). Denoting the integrals along these arches as $I_{C_1}$ and $I_{C_2}$
$$\oint_C\frac{e^{az}}{\sinh(\pi z)}~\mathrm{d}z=I(a)+I_{C_1}+I(a)e^{ia}+I_{C_2}=0$$
because there are no poles inside the contour.
$$I(a)\big(1+e^{ia}\big)=-I_{C_1}-I_{C_1}=\pi i\Big(\underset{z=0}{\operatorname{Res}}\frac{e^{az}}{\sinh(\pi z)}+\underset{z=i}{\operatorname{Res}}\frac{e^{az}}{\sinh(\pi z)}\Big)$$
$$I(a)=i\frac{1-e^{ia}}{1+e^{ia}}=\tan\frac a2$$
$$I_0=\frac12\left(I(a)-I(-a)\right)=\tan\frac a2$$