Notation means whatever the author intends. Most commonly (infinite) sequences are thought of as functions from $\Bbb N$ to the set of possible entries. A finite sequence on the other hand can be thought of as a function from $\{1,2,\dots,n\}$ to the set of possible entries.
There is precedent for denoting the set of functions from $A$ to $B$ as
$$\{f~:~f~\text{is a function }A\to B\}=B^A$$
Some of the justification behind this notation is for the convenient identity for finite sets then that $|B^A|=|B|^{|A|}$. You will also as a result commonly see instead of the power set of $A$ notated as $\mathcal{P}(A)$ to instead see it notated as $2^A$ or as $\{0,1\}^A$.
Using this notation as a base and using the interpretation that you want all finite or infinite length sequences of positive integers, the set you describe could be written then as:
$$\Bbb N^\Bbb N\cup \left(\bigcup\limits_{n=1}^\infty \Bbb N^{[n]}\right)$$
where $[n]=\{1,2,3,\dots,n\}$ (or if you prefer $\{0,1,2,\dots,n-1\}$). If you wish to include the empty-sequence, you may adjust the lowerbound to $n=0$ instead of $n=1$.