The iterated integral of the complementary error function,

$$\begin{align*}
\mathrm{i}^n\mathrm{erfc}(z)&=\underbrace{\int_z^\infty\int_{t_{n-1}}^\infty\cdots\int_{t_1}^\infty}_{n} \mathrm{erfc}(t)\,\mathrm dt\cdots\mathrm dt_{n-2}\mathrm dt_{n-1}\\
&=\frac2{n!\sqrt\pi}\int_z^\infty(t-z)^n\exp(-t^2)\,\mathrm dt
\end{align*}$$

(see e.g. Abramowitz and Stegun) satisfies the difference equation

$$\mathrm{i}^{n+1}\mathrm{erfc}(z)=-\frac{z}{n+1}\mathrm{i}^n\mathrm{erfc}(z)+\frac1{2(n+1)}\mathrm{i}^{n-1}\mathrm{erfc}(z)$$

with initial conditions $\mathrm{i}^0\mathrm{erfc}(z)=\mathrm{erfc}(z)$ and $\mathrm{i}^{-1}\mathrm{erfc}(z)=\dfrac2{\sqrt\pi}\exp(-z^2)$.

This recurrence can be rearranged:

$$\frac{\mathrm{i}^n\mathrm{erfc}(z)}{\mathrm{i}^{n-1}\mathrm{erfc}(z)}=\frac1{2z+2(n+1)\tfrac{\mathrm{i}^{n+1}\mathrm{erfc}(z)}{\mathrm{i}^n\mathrm{erfc}(z)}}$$

Iterating this transformation yields the continued fraction

$$\frac{\mathrm{i}^n\mathrm{erfc}(z)}{\mathrm{i}^{n-1}\mathrm{erfc}(z)}=\cfrac1{2z+\cfrac{2(n+1)}{2z+\cfrac{2(n+2)}{2z+\dots}}}$$

(As a note, it can be shown that $\mathrm{i}^n\mathrm{erfc}(z)$ is the minimal solution (that is, $\mathrm{i}^n\mathrm{erfc}(z)$ decays as $n$ increases) of its difference equation; thus, by Pincherle, the CF given above is correct.)

In particular, the case $n=0$ gives

$$\frac{\sqrt\pi}{2}\exp(z^2)\mathrm{erfc}(z)=\cfrac1{2z+\cfrac2{2z+\cfrac4{2z+\cfrac6{2z+\dots}}}}$$

If $z=\dfrac1{\sqrt 2}$, then

$$\frac{\sqrt{e\pi}}{2}\mathrm{erfc}\left(\frac1{\sqrt 2}\right)=\cfrac1{\sqrt 2+\cfrac2{\sqrt 2+\cfrac4{\sqrt 2+\cfrac6{\sqrt 2+\dots}}}}$$

We now perform an *equivalence transformation*. Recall that a general equivalence transformation of a CF

$$b_0+\cfrac{a_1}{b_1+\cfrac{a_2}{b_2+\cfrac{a_3}{b_3+\cdots}}}$$

with some sequence $\mu_k, k>0$ looks like this:

$$b_0+\cfrac{\mu_1 a_1}{\mu_1 b_1+\cfrac{\mu_1 \mu_2 a_2}{\mu_2 b_2+\cfrac{\mu_2 \mu_3 a_3}{\mu_3 b_3+\cdots}}}$$

You can easily show that an equivalence transformation leaves the value of the CF unchanged.

If we apply this to the CF earlier with $\mu_k=\dfrac1{\sqrt 2}$, then

$$\sqrt{\frac{e\pi}{2}}\mathrm{erfc}\left(\frac1{\sqrt 2}\right)=\cfrac1{1+\cfrac1{1+\cfrac2{1+\cfrac3{1+\dots}}}}$$

The CF in the OP is now easily obtained from this.