This proves one direction, but not the other. Remember that $d=(a,b)$ if and only if $d$ is the smallest positive integer expressible as $ax+by$. You've shown that if $d=(a,b)$ then there exist $x$ and $y$ such that $d=(a+nb)x+by$, but not that it's the smallest integer of this form.
You're nearly there, and there are several ways to complete the proof. One would be to assume $e=(a+bn,b)=x_2(a+bn)+y_2b$ and show that $e=xa+yb$ for some $x,y\in \mathbb Z$.
(What you did shows that $(a+nb,b)\leq(a,b)$, and doing it again in the other direction shows $(a+nb,b)\geq (a,b)$, so combining the two facts gives equality.)