This $g$ obeys the intermediate value (Darboux) property. To see this, note that it is continuous everywhere except at $x = 0$, but in any interval around $0$, no matter how small, it attains all values in $[-1, 1]$ and no other values (exercise: explain why this implies $g$ has the Darboux property).
Your idea to start with an antiderivative $G$ is a good one. Note that we can explicitly define what the antiderivative is at all points $x \neq 0$: $G(x) = \int_{0}^{x}\sin(1/t)dt$. This follows by the fundamental theorem of calculus, since $g$ is continuous for $x \neq 0$. This means that, for all $x \neq 0$, we have that $G'(x) = g(x)$, and further, we know that any antiderivative will equal (some translation of) $G$ for all $x \neq 0$. This means that, if $G$ fails to be an antiderivative for $g$, the failure needs to happen at $x = 0$.
What does it mean for $G$ not to be an antiderivative of $g$ at $x = 0$? It means precisely that $G'(0) \neq g(0)$. You have an integral expression for $G(x)$, which means you can compute $G'(0)$, and if you can show that it's distinct from $g(0)$, you're done. To that end, The antiderivative of $\sin(1/x)$ shows that $G'(0) = 0$, and so $g$ admits no antiderivative.