You ask for localization of the poles and zeroes for the analytic continuation of $P_{\alpha}(s)$ for $\alpha \in [-1,\infty]$.
Below, I prove that for $\alpha \in (0,\infty]$, there is no analytic continuation to start with.
$$
\begin{align}
P_{\alpha}(s) &= \sum\limits_{n=1}^{\infty} e^{-s \frac{n^{\alpha+1}-1}{\alpha+1}} \\
&= \underbrace{e^{\frac{s}{\alpha+1}}}_{{f(s)}} \overbrace{\sum\limits_{n=1}^{\infty} \left(e^{\frac{-s}{\alpha+1}}\right)^{n^{\alpha+1}}}^{g(s)} \\
\end{align}
$$
$f(s)$ is an entire function.
To analyze $g(s)$,
- lets substitute $e^{\frac{-s}{\alpha+1}} \to z$.
- This maps the right half of the $s$-plane to interior of unit circle in $z$-plane.
- $g(z)$ has no singularities inside the unit circle.
$$g(z) = \sum\limits_{n=1}^{\infty} z^{n^{\alpha+1}}$$
- $\lim\limits_{n \to \infty} \frac{n^{\alpha+1}}{n} = \lim\limits_{n \to \infty} n^{\alpha} = \infty$
So unit circle is a natural boundary$^{\dagger}$. Analytical extension from inside the unit circle to outside the unit circle is not possible for $g(z)$. Translating this to $s$-plane, we can't analytically extend $g(s)$ to left half of plane.
Note$^{\dagger}$: Fabry gap theorem is clear for $\alpha \in \mathbb{Z}^{+}$. I see some lacunary gap theorems upon search that apply to $\alpha \in \mathbb{R}^+$ (which loosely translate to $\left(1+\frac1n\right)^{\alpha+1} \gt 1+\delta$ lacunacy condition for $g(s)$). But I don't have a reliable reference.
Since $g(s)$ has a natural boundary at $\mathfrak{R}(s) = 0$, $P_{\alpha}(s) = f(s) g(s)$ also cannot be analytically extended to left half of $s$-plane.
Edit 1:
For $\alpha \in (-1,0)$, Let $\delta = \alpha + 1$ , where $\delta \in (0,1)$
$$P_{\alpha}(s) = e^{\frac{s}{\delta}} \sum\limits_{n=1}^{\infty} e^{-\frac{s n^{\delta}}{\delta}}$$
By Mellin inversion,
$$e^{-\frac{s n^{\delta}}{\delta}} = \frac{1}{2\pi i} \int\limits_{c-i \infty}^{c + i \infty} \Gamma(z) \left(\frac{s n^{\delta}}{\delta}\right)^{-z} dz$$
Therefore $$P_{\alpha}(s) = e^{\frac{s}{\delta}} \frac{1}{2\pi i} \int\limits_{c-i \infty}^{c + i \infty} \Gamma(z) \left(\frac{1}{\delta^z}\right) \zeta(\delta z) s^{-z}$$
The poles of $\Gamma(z)$ are at $z = 0, -1, -2, ....$. The pole of $\zeta(\delta z)$ is at $z=\frac{1}{\delta} \gt 0$. So the dominant pole is from $s^{-z}$ at $s=0$ when combined with the Zeta residue at $\frac{1}{\delta}$.
The pole analysis is complete for $\alpha \in (-1,0)$. I am not sure about the zeroes though. That is like another Riemann Hypothesis, no? :)