Solution:
To say that Alice has a winning strategy means that she can find a number n to form the set A, so that she can respond appropriately to all choices of Bob and always get at the end a composite number for the sum of her choices. If such n does not exist, this would mean that Bob has a winning strategy instead.
Alice can try first to check the small values of n. Indeed, this gives the following winning strategy for her: she initially picks n=8 and responds to all possible choices made by Bob as in the list below (in each row the choices of Bob and Alice are given alternatively, starting with Bob):
12345678
23145678
23415678
32145678
32451678
32456178
45362178
45367821
45673218
45673281
45678321
54321678
54326718
54326781
54632178
54637821
67543821
67548321
67854321
76854321
76584321
87654321
In all cases, Alice's sum is either an even number greater than 2, or else 15 or 21, thus Alice always wins.