$ \bigcup_n Ass(I^n/I^n)$ need not be finite. Note that we have an exact sequence
$$ 0 \rightarrow \bigoplus_n \frac{I^n}{I_n} \rightarrow \bigoplus_n \frac{R}{I_n} \rightarrow
\bigoplus_n \frac{R}{I^n} \rightarrow 0. $$
By Brodmann's result we have $ \bigcup_n Ass(R/I^n)$ is a finite set. So if $ \bigcup_n Ass(R/I_n)$
is an infinite set then $ \bigcup_n Ass(I^n/I^n)$ is also an infinite set.
Let $H^t_I(R)$ is the $t^{th}$ local co-homology module of $R$ with respect to $I$.
It can be shown that
$$ Ass \ H^t_I(R) \subseteq \bigcup_n Ass(R/I_n)$$
,see Proposition 2.1 in the paper
"Associated primes of local cohomology modules and of Frobenius powers", Anurag Singh and Irena Swanson,
International Mathematics Research Notices 33 (2004) 1703–1733.
So if $Ass \ H^t_I(R)$ is an infinite set then $ \bigcup_n Ass(I^n/I^n)$ is also an infinite set.
For an example when this occurs see the paper referred above.