I applaud Robert Israel's answer and approach: this is how answers should be written.
Unfortunately, the asker seems to find it "unconvincing". Consider this an extended comment, explaining exactly why Robert Israel's answer is correct, and why the approach he guided to yields a robust, intuitive reason why it is correct.
Because the square contains $2n \times 2n$ square cells, the diagonals intersect at an intersection of four cells. If we choose this point as the origin, then each horizontal and vertical line is at an integer coordinate; and each cell spans a square between consecutive integer coordinates.
The circle is then centered at origin with radius $n - \frac{1}{2}$, and all four quadrants around origin are symmetric, and the number of cells the circle intersects will be divisible by $4$ for all positive integer $n$.
If we consider the circular arc from the positive $x$ axis to the positive $y$ axis, we can trace the cells the circle intersects, one by one.
If the circle intersects the left edge of the cell, the next cell will be the cell on the left side.
If the circle intersects the top edge of the cell, the next cell will be the cell above.
Since we are traversing the arc from positive $x$ axis to the positive $y$ axis, the only other way the circle can intersect the cell perimeter is via the upper left corner, if and only if there are integers $u$, $v$ such that
$$u^2 + v^2 = \left(n - \frac{1}{2}\right)^2$$
i.e.
$$u^2 + v^2 = n^2 - n + \frac{1}{4}$$
For integer $n$, the right side is never an integer, so there cannot be such integers $u$ and $v$, and therefore the circle with radius $n + \frac{1}{2}$ (with positive integer $n$) never passes through any points with integer coordinates; so the "left" and "up" steps are the only two possible ones.
Because the arc must do $n-1$ steps up, and $n-1$ steps left, it must pass through exactly
$$4 \bigl( 1 + (n - 1) + (n - 1) \bigr) = 8 n - 4$$
cells. (The $1$ is the starting cell, and the two $(n - 1)$ are the number of steps up and left; and since this is only one quadrant and all four are identical, we multiply by four.)
The way the walk is done just changes the order in which the "up" and "left" steps taken; it does not change the number of steps either way. This can sound funny, but is actually a common thing in similar calculations. In a very real sense, we are calculating here the Manhattan length or taxicab length of the circular arc. Indeed, walking from the starting cell to the final cell in the first quadrant will always take one through $2n - 1$ cells, regardless of whether one walks in a straight line, or along two edges of the $n \times n$ quadrant; the circular arc just happens to be somewhere in between.