Complex analysis can help. The rate of Taylor coefficients is determined by:

a) the radius of convergence, which is equal to the radius of the largest disk $|z|<r$

where your function is analytic. This radius is responsible for the exponential asymptotics, and

b) the nature of singularities on the circle $|z|=r$.

Your function $f$ can have only square root singularities, since $g$ has only square root singularities. Since the singularities of $g$ are $pm1$, to determine the radius of convergence, you have to show that equation $g(z)=pm1$ has no solutions

in $|z|<1$. This will justify your asymptotics.

I have not done the calculation, perhaps you can do it yourself.

Ref: P. Flajolet and R. Sedgewick, Analytic combinatorics, Chap. VI.

Edit: Conrad gave a simple argument in the comment below below which shows that $f$ has no other

singularities in the closed unit disk, except at $z=pm1$, so your conjecture on the asymptotics is correct.

Note that $g(1)=g'(1)=1$ and for real $xin(-1,1)$

begin{equation*}

g”(x)=frac1{pisqrt{1-x^2}}.

end{equation*}

The map $zmapsto1-z^2$ maps the set

begin{equation*}

R:=mathbb Csetminus(-infty,-1]setminus[1,infty)

end{equation*}

onto $mathbb Csetminus(-infty,0]$. So, the map

begin{equation*}

Rni zmapsto h(z):=frac1{pisqrt{1-z^2}}

end{equation*}

is analytic, and hence $g$ can be continued analytically to $R$ by the Taylor formula

begin{equation*}

Rni zmapsto g(z):=g(1)+g'(1)(z-1)+int_1^z(z-u)h(u),du \

=z+int_1^z(z-u)h(u),du. tag{0}

end{equation*}

Take a real $r>1$ and let

begin{equation*}

D_r:={zin Rcolon|z|<r,|arg(z-1)|>pi/4}.

end{equation*}

The main difficulty is to show that $g(D_r)subseteq R$ for some $r>1$.

First here, take any real $t>0$. Then there is some real $u_t>0$ such that for all complex $z$ with $|z|le1$ and $|arg z|ge t$ we have $|frac1pi+frac z2|lefrac1pi+frac12-u_t$, whence

begin{equation*}

|g(z)|leBig|frac1pi+frac z2Big|+ sum_{n=1}^infty frac{(2n-3)!!}{(2n-1)n!2^n pi}|z|^{2n}

lefrac1pi+frac12-u_t+ sum_{n=1}^infty frac{(2n-3)!!}{(2n-1)n!2^n pi}

=g(1)-u_t=1-u_t.

end{equation*}

Since $g$ is analytic on $R$, it is uniformly continuous on any compact subset of $R$. So, there is some real $r_t>1$ such that $|g(z)|<1$ for all complex $zne1$ with $|z|le r_t$ and $|arg z|ge t$.

Also, it follows that $|g(z)|<1$ for all complex $z$ with $|z|<1$.

Thus, to prove that $g(D_r)subseteq R$ for some $r>1$, it suffices to show that

$Im g(z)ne0$ for all $zne1$ with $|z|ge1$ and $|arg(z-1)|>pi/4$ that are close enough to $1$.

To see this, note that $h(u)simfrac1{pisqrt2,sqrt{1-u}}$ as $uto1$. Then (0) yields

begin{equation*}

g(z)=z+c_1cdot(z-1)^{3/2}, tag{1}

end{equation*}

where $c_1=c_1(z)$ converges to a nonzero complex number as $zto1$. So, the conclusion that

$Im g(z)ne0$ for all $zne1$ with $|z|ge1$ and $|arg(z-1)|>pi/4$ that are close enough to $1$ follows, which does show that $g(D_r)subseteq R$ for some $r>1$.

So, $f=gcirc g$ is analytic on $D_r$ for such an $r$.

Moreover, (1) implies

begin{equation*}

f(z)=g(g(z))=g(z+c_1cdot(z-1)^{3/2})\

=z+c_1cdot(z-1)^{3/2}+hat c_1cdot(z-1+c_1cdot(z-1)^{3/2})^{3/2} \

=z+tilde c_1cdot(z-1)^{3/2}, tag{2}

end{equation*}

where $hat c_1=hat c_1(z)sim c_1(z)$ and $tilde c_1=tilde c_1(z)sim2c_1(z)$ as $zto1$.

Similarly, since $h(u)simfrac1{pisqrt2,sqrt{1+u}}$ as $uto-1$, the Taylor formula for $g(z)$ at $z=-1$ (together with the observation $g(-1)=g'(-1)=0$) yields $g(z)=c_{-1}cdot(z+1)^{3/2}$, where $c_{-1}=c_{-1}(z)$ converges to a complex number as $zto-1$. Therefore and because $g$ is analytic at $0$, we have

begin{equation*}

f(z)=g(g(z))=c_0+hat c_0cdot g(z)

=c_0+tilde c_0cdot(z+1)^{3/2}, tag{3}

end{equation*}

where $c_0:=g(0)$, $hat c_0=hat c_0(z)=O(1)$, and $tilde c_0=tilde c_0(z)=O(1)$ as $zto-1$.

Now we are finally in a position to use (with thanks to Alexandre Eremenko) Theorem VI.5 (with $alpha=-3/2$, $beta=0$, $rho=1$, $r=2$, $zeta_1=1$, $zeta_2=-1$, $mathbf D=D_r$, $sigma_1(z)=z$, $sigma_2(z)=c_0$), which yields the $n$th coefficient for $f$:

begin{equation*}

[z^n]f(z)=O(n^{alpha-1})=O(n^{-5/2}),

end{equation*}

as you conjectured.

For an illustration, here is the set ${g(z)colon zin R,|z|<2}$: