For which $n$ are there primitive Pythagorean triples with legs of lengths $a$ and $a+n$?

The general primitive solution to $x^2+y^2 = z^2$ is given by: $x=u^2-v^2$, $y=2uv$, $z=u^2+v^2$, with $u,v$ relatively prime and not both odd.

For $(a,a+n,z)$ to be a primitive triple, we'd have to have a $(u,v)$ such that: $|u^2 - v^2 - 2uv| = n$. We can rewrite that as: $(u-v)^2 - 2v^2 = \pm n$

So, setting $w = u-v$, we want to find $(w,v)$ which are relatively prime and $w$ is odd, with:

$$w^2-2v^2 = \pm n$$

This means that $n$ must be odd.

In fact, we can use unique factorization in $\mathbb{Z}[\sqrt{2}]$ to show that $n$ can be any product of primes of the form $8k\pm 1$. Since there are infinitely many primes of the form $8k\pm 1$, the answer to your question is, "yes."

(Oh, and once you find one solution $(w,v)$ for a particular $n$, you can find infinitely many solutions for that $n$.)