$Version
(* "13.1.0 for Mac OS X x86 (64-bit) (June 16, 2022)" *)
Clear["Global`*"]
f[a_?NumericQ] :=
NIntegrate[-a*(x - 5)^2 - 3 Sqrt[y] + Cos[x], {x, 0, 10}, {y, 0, 3}]
You can specify the step size using the standard form for an iterator.
fi = FunctionInterpolation[f[a], {a, 0, 3, 0.34}]

However, the iterator stops at 2.72 and the upper portion of the interval {0, 3} then requires extrapolation.
fi[2.9]
(* bInterpolatingFunction::dmval: Input value {2.9} lies outside the range of data in the interpolating function. Extrapolation will be used. *)
(* -830.555 *)
Plot[{f[a], fi[a]}, {a, 0, 3},
PlotStyle -> {Automatic, Dashed},
PlotLegends ->
Placed["Expressions", {.8, .65}]]
