Should I season a Teflon-coated stainless steel frying pan
No. Neither plain stainless steel nor non-stick pans (which yours is as it's coated with Teflon) need to be seasoned. Not only is seasoning unnecessary, but it will only cause your pan to look dirty. It would do no good at all. 

Seasoning is all about preventing rust and sealing "pores", making the surface more resistant to sticking. Neither of those things are an issue with stainless steel or Teflon, and it's unlikely that the seasoning would even stick to your pan. On your pan you can even use soap!

Some people (a distinct minority) do season stainless steel (Do I need to season a stainless steel saute pan?), but absolutely don't try to season Teflon.

EDIT: It is often recommended use a paper towel to wipe a small amount of oil on Teflon before use. Apparently some people do call that "seasoning", but it bears no resemblance to the seasoning of cast-iron. NY Times