The factors $n(n-1)$ and $2n(2n-1)$ indicate that we could try integration by parts twice.
We obtain for $n\geq 2$
\begin{align*}
V_n&=\int_0^1e^xU_n(x)dx\\
&=\int_0^1e^xx^n(1-x)^ndx\\
&=\left.e^xx^n(1-x)^n\right|_0^1-\int_0^1e^x\left[nx^{n-1}(1-x)^n-nx^n(1-x)^{n-1}\right]dx\tag{1}\\
&=-n\int_0^1e^xx^{n-1}(1-x)^ndx+n\int_0^1e^xx^{n}(1-x)^{n-1}dx\\
&=n\int_0^1e^x\left[(n-1)x^{n-2}(1-x)^n-nx^{n-1}(1-x)^{n-1}\right]dx\tag{2}\\
&\qquad-n\int_0^1e^x\left[nx^{n-1}(1-x)^{n-1}-(n-1)x^n(1-x)^{n-2}\right]dx
\end{align*}
Comment:
- In (1) and (2) we do integration by parts
The next step is to collect the summands in (2). Since the integral is a linear operator we can focus on the polynomial parts. We also conveniently use $U_n(x)$ as shorthand for $x^n(1-x)^n$.
We obtain from (2)
\begin{align*}
n&(n-1)(1-x)^2U_{n-2}(x)-n^2U_{n-1}(x)-n^2U_{n-1}(x)+n(n-1)x^2U_{n-2}(x)\\
&=n(n-1)(1-2x+2x^2)U_{n-2}(x)-2n^2U_{n-1}(x)\\
&=n(n-1)(1-2x(1-x))U_{n-2}(x)-2n^2U_{n-1}(x)\\
&=n(n-1)U_{n-2}(x)-2n(n-1)U_{n-1}(x)-2n^2U_{n-1}(x)\\
&=n(n-1)U_{n-2}(x)-2n(2n-1)U_{n-1}(x)\tag{3}
\end{align*}
Now it's time to harvest.
We obtain with (2) and (3)
\begin{align*}
V_n&=-2n(2n-1)\int_0^1e^xU_{n-1}(x)\,dx+n(n-1)\int_{0}^1e^xU_{n-2}(x)\,dx\\
&=-2n(2n-1)V_{n-1}+n(n-1)V_{n-2}
\end{align*}
and the claim follows.