[guided]The Mellin transform identity was first proved for $\operatorname{Re}(s)>1$. To continue it, split the integral into the part from $1$ to $\infty$ and the part from $0$ to $1$. Define the map
\begin{align*}
A_\chi:\mathbb{C}&\to \mathbb{C} \\
s&\mapsto
\int_1^\infty
\Theta_a(t,\chi)t^{(s+a)/2-1}\,d\mathcal{L}^1(t).
\end{align*}
Because the Gaussian factor $\exp(-\pi n^2t/q)$ decays exponentially as $t \to \infty$, this integral converges locally uniformly for all $s \in \mathbb{C}$. Therefore $A_\chi$ is entire.
The remaining part is the integral over $(0,1)$. Here the theta transformation is designed exactly to replace small $t$ by large $t$:
\begin{align*}
\Theta_a(t,\chi)
=
\varepsilon(\chi)t^{-a-1/2}\Theta_a(t^{-1},\overline{\chi}).
\end{align*}
Substituting this identity gives
\begin{align*}
\int_0^1
\Theta_a(t,\chi)t^{(s+a)/2-1}\,d\mathcal{L}^1(t)
=
\varepsilon(\chi)
\int_0^1
\Theta_a(t^{-1},\overline{\chi})t^{(s-a-3)/2}\,d\mathcal{L}^1(t).
\end{align*}
Now set $u=t^{-1}$. Then the domain $(0,1)$ becomes $(\infty,1)$, and reversing the limits produces the integral over $(1,\infty)$. Since
\begin{align*}
d\mathcal{L}^1(t)=u^{-2}\,d\mathcal{L}^1(u),
\end{align*}
we obtain
\begin{align*}
t^{(s-a-3)/2}\,d\mathcal{L}^1(t)
=
u^{-(s-a-3)/2}u^{-2}\,d\mathcal{L}^1(u)
=
u^{(1-s+a)/2-1}\,d\mathcal{L}^1(u).
\end{align*}
Therefore
\begin{align*}
\int_0^1
\Theta_a(t,\chi)t^{(s+a)/2-1}\,d\mathcal{L}^1(t)
=
\varepsilon(\chi)A_{\overline{\chi}}(1-s).
\end{align*}
Combining this with the Mellin transform calculation yields
\begin{align*}
2\Lambda(s,\chi)
=
A_\chi(s)+\varepsilon(\chi)A_{\overline{\chi}}(1-s).
\end{align*}
The same reasoning applied to the conjugate character $\overline{\chi}$ gives
\begin{align*}
2\Lambda(1-s,\overline{\chi})
=
A_{\overline{\chi}}(1-s)+\varepsilon(\overline{\chi})A_\chi(s).
\end{align*}
To compare these two formulas, we need the product of the two root numbers. The [Magnitude of a Primitive Dirichlet Gauss Sum](/theorems/TEMP-52) gives
\begin{align*}
|\tau(\chi)|^2=q.
\end{align*}
The conjugate Gauss sum is computed directly:
\begin{align*}
\tau(\overline{\chi})
&=
\sum_{r=1}^{q}\overline{\chi}(r)e^{2\pi i r/q} \\
&=
\chi(-1)\sum_{u=1}^{q}\overline{\chi}(u)e^{-2\pi i u/q} \\
&=
\chi(-1)\overline{\tau(\chi)}.
\end{align*}
Therefore
\begin{align*}
\tau(\chi)\tau(\overline{\chi})=\chi(-1)q=(-1)^a q.
\end{align*}
Hence
\begin{align*}
\varepsilon(\chi)\varepsilon(\overline{\chi})
=
\frac{i^{-a}i^{-a}\tau(\chi)\tau(\overline{\chi})}{q}
=
i^{-2a}(-1)^a
=
1.
\end{align*}
Multiplying the formula for $\Lambda(1-s,\overline{\chi})$ by $\varepsilon(\chi)$ now gives exactly the formula for $\Lambda(s,\chi)$:
\begin{align*}
2\varepsilon(\chi)\Lambda(1-s,\overline{\chi})
=
\varepsilon(\chi)A_{\overline{\chi}}(1-s)+A_\chi(s)
=
2\Lambda(s,\chi).
\end{align*}
Dividing by $2$ proves the functional equation.[/guided]