When $dx$ is a true infinitesimal (e.g. interpreted as an infinitesimal in hyperreals) , it is possible to make sense out of the "integral".
However, I have strong doubt that this is the intended interpretation.
Since the Riemann like sum
$$S(\Delta x) \stackrel{def}{=} \sum x^{\Delta x} - 1$$
is defined for finite $\Delta x > 0$. By transfer principle of hyperreals, the function $S(dx)$ is defined for all infinitesimal $dx > 0$.
Like the ordinary construction of integral in the framework of hyperreals, if the standard part of $S(dx)$ is a real number independent of choice of $dx$, we can use it as a definition of the "integral" $\int x^{dx} - 1$.
Translate this back to standard analysis, we can interpret the "integral" as a limit of Riemann like sum
$$\int_a^b x^{dx} - 1 = \lim_{\delta(P) \to 0 } \sum_{i=1}^n (x_i^*)^{\Delta x_i} - 1$$
where $P$ stands for any tagged partition of $[a,b]$:
$$a = x_0 < x_1 < \cdots < x_n = b\quad\text{ and }\quad x_k^* \in [ x_{k-1}, x_k ]\quad\text{ for } 1 \le k \le n$$
and $\delta(P) = \max_k \{ x_k - x_{k-1} : 1 \le k \le n \}$ is the mesh of the partition.
If I'm not mistaken, the indefinte "integral" evaluates to
$$\int x^{dx} - 1 \stackrel{?}{=} \int \log x dx = x\log x - x + \text{constant}$$
For more details about this sort of approach to calculus through infinitesimals, Jerome Keisler's classic
Elementary Calculus - an infinitesimal approarch will be an excellent reference.