[guided]We prove completeness by proving the equivalent orthogonal-complement statement: if a function is orthogonal to every $\psi_n$, then it must be the zero element of $L^2(\mathbb{R})$.
The scaling parameter in the oscillator is $\alpha=\sqrt{m\omega/\hbar}$. To remove it from the Hermite functions, define
$F$ is the map $F:\mathbb{R}\to\mathbb{C}$ given by
\begin{align*}
F(y)=\alpha^{-1/2}f(y/\alpha).
\end{align*}
This is the unitary rescaling of $f$. Indeed, using the substitution $y=\alpha x$, so that $d\mathcal{L}^1(y)=\alpha\,d\mathcal{L}^1(x)$, we obtain
\begin{align*}
\int_{\mathbb{R}}|F(y)|^2\,d\mathcal{L}^1(y)
=\int_{\mathbb{R}}\alpha^{-1}|f(y/\alpha)|^2\,d\mathcal{L}^1(y)
=\int_{\mathbb{R}}|f(x)|^2\,d\mathcal{L}^1(x).
\end{align*}
Thus $F\in L^2(\mathbb{R})$.
Because the $L^2$ inner product is linear in the first argument and each $\psi_n$ is real-valued, the orthogonality condition $(f,\psi_n)_{L^2(\mathbb{R})}=0$ becomes
\begin{align*}
\int_{\mathbb{R}}F(y)H_n(y)e^{-y^2/2}\,d\mathcal{L}^1(y)=0
\end{align*}
for every $n\ge 0$, after multiplying by the nonzero real normalising constants. Since $H_n$ is a polynomial of degree exactly $n$, the family $(H_n)_{n\ge 0}$ spans all polynomials by triangular elimination. Therefore
\begin{align*}
\int_{\mathbb{R}}F(y)y^k e^{-y^2/2}\,d\mathcal{L}^1(y)=0
\end{align*}
for every integer $k\ge 0$.
Now define $G:\mathbb{R}\to\mathbb{C}$ by
\begin{align*}
G(y)=F(y)e^{-y^2/2}.
\end{align*}
This is the Gaussian-weighted version of $F$. The weight is chosen so that the Hermite orthogonality conditions become ordinary moment conditions. The function $G$ is integrable because
\begin{align*}
\int_{\mathbb{R}}|G(y)|\,d\mathcal{L}^1(y)
\le \left(\int_{\mathbb{R}}|F(y)|^2\,d\mathcal{L}^1(y)\right)^{1/2}
\left(\int_{\mathbb{R}}e^{-y^2}\,d\mathcal{L}^1(y)\right)^{1/2}<\infty.
\end{align*}
The moment identities become
\begin{align*}
\int_{\mathbb{R}}y^kG(y)\,d\mathcal{L}^1(y)=0
\end{align*}
for every $k\ge 0$.
We package all moments into one analytic function. Define $\Phi:\mathbb{C}\to\mathbb{C}$ by
\begin{align*}
\Phi(z)=\int_{\mathbb{R}}G(y)e^{-izy}\,d\mathcal{L}^1(y).
\end{align*}
This integral is absolutely convergent for every complex $z$. If $|z|\le R$, then
\begin{align*}
|G(y)e^{-izy}|\le |F(y)|e^{-y^2/2}e^{R|y|}.
\end{align*}
The right-hand side is integrable, because Cauchy-Schwarz gives
\begin{align*}
\int_{\mathbb{R}}|F(y)|e^{-y^2/2}e^{R|y|}\,d\mathcal{L}^1(y)
\le \|F\|_{L^2(\mathbb{R})}
\left(\int_{\mathbb{R}}e^{-y^2+2R|y|}\,d\mathcal{L}^1(y)\right)^{1/2}<\infty.
\end{align*}
For each integer $k\ge 0$, differentiating the integrand $k$ times with respect to $z$ produces the factor $(-iy)^k$. If $|z|\le R$, then
\begin{align*}
|(-iy)^kG(y)e^{-izy}|\le |y|^k|F(y)|e^{-y^2/2}e^{R|y|}.
\end{align*}
This majorant is integrable, because Cauchy-Schwarz gives
\begin{align*}
\int_{\mathbb{R}}|y|^k|F(y)|e^{-y^2/2}e^{R|y|}\,d\mathcal{L}^1(y)
\le \|F\|_{L^2(\mathbb{R})}
\left(\int_{\mathbb{R}}|y|^{2k}e^{-y^2+2R|y|}\,d\mathcal{L}^1(y)\right)^{1/2}<\infty.
\end{align*}
This domination is uniform on compact subsets of $\mathbb{C}$, so differentiating under the integral is justified. For every $k\ge 0$,
\begin{align*}
\Phi^{(k)}(0)=\int_{\mathbb{R}}(-iy)^kG(y)\,d\mathcal{L}^1(y)=0.
\end{align*}
Hence every Taylor coefficient of the entire function $\Phi$ at $0$ is zero. Therefore the Taylor series of $\Phi$ is identically zero in a neighbourhood of $0$, and the identity theorem for holomorphic functions applied successively on overlapping discs gives $\Phi\equiv 0$.
For real $\xi$, $\Phi(\xi)$ is exactly the Fourier transform of $G$ at frequency $\xi$ under the convention used in the proof. Since $\Phi(\xi)=0$ for every $\xi\in\mathbb{R}$, we pass to distributions. Let $\mathcal{S}'(\mathbb{R})$ denote the space of tempered distributions on $\mathbb{R}$, and define the regular tempered distribution $T_G\in\mathcal{S}'(\mathbb{R})$ by
\begin{align*}
T_G(\varphi)=\int_{\mathbb{R}}G(y)\varphi(y)\,d\mathcal{L}^1(y)
\end{align*}
for $\varphi\in\mathcal{S}(\mathbb{R})$. The vanishing of $\Phi$ on the real axis says that the Fourier transform of $T_G$ is zero. The [Fourier transform on $\mathcal{S}'$](/theorems/230) is injective, so $T_G=0$. Equivalently,
\begin{align*}
\int_{\mathbb{R}}G(y)\varphi(y)\,d\mathcal{L}^1(y)=0
\end{align*}
for every $\varphi\in\mathcal{S}(\mathbb{R})$. A locally integrable function whose associated regular distribution is zero is zero almost everywhere; since $G\in L^1(\mathbb{R})\subset L^1_{\mathrm{loc}}(\mathbb{R})$, this gives $G=0$ for $\mathcal{L}^1$-almost every $y$. Finally, the Gaussian factor never vanishes:
\begin{align*}
e^{-y^2/2}>0
\end{align*}
for every $y\in\mathbb{R}$. Therefore $F=0$ almost everywhere, and undoing the unitary scaling gives $f=0$ in $L^2(\mathbb{R})$.[/guided]