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Let $H^{[k]}_n(x)$ denote the variant of Hermite polynomials which are orthogonal with respect to the measure $$\frac{1}{\sqrt{2\pi k}}e^{-x^2/2k}dx .$$ Since the measure in the question is a product of the above measures (over all positive integers $k$), we have a family of orthogonal multivariable polynomials $$H^{[1]}_{n_1}(x_1) H^{[2]}_{n_2}(x_2) \cdots H^{[j]}_{n_j}(x_j) ,$$ indexed by tuples $(n_1,\ldots,n_l)$. The orthogonal polynomials of the questions are linear combinations of these. More specifically, let $N = \sum_i i\cdot n_i$. Think of $(n_1,\ldots,n_l)$ as encoding a conjugacy class in the symmetric group $S_N$, where $n_i$ is the number of $i$-cycles in a permutation. We can use the character table of $S_N$ to change basis from conjugacy-class-bump-functions to characters-of-representations. Applying an analogous change of basis to the above products of Hermite polynomials (separately for each $N$) yields the polynomials described in the question. There are some normalization factors I have not mentioned, related to the fact that some of the bases mentioned above are orthogonal but not orthonormal.