I think there is no simple formula here, although we can get some recurrence relations and related identities for generating functions as explained below.
Similarly to odious numbers, we have evil numbers that contain even number of 1s in their binary representation.
Let $S^o_k(n)$ and $S^e_k(n)$ denote the sum of $k$-th powers of all odious and evil numbers $\leq n$, respectively.
It can be easily seen that each odious number has one of the two forms: $2m$ where $m$ is an odious number, or $2m+1$ where $m$ is an evil number. It follows that for $n\geq 1$
$$S^o_k(n) = S^o_k(\lfloor\tfrac{n}2\rfloor)2^k + \sum_{i=0}^k \binom{k}{i} S^e_i(\lfloor\tfrac{n-1}2\rfloor) 2^i$$
and similarly
$$S^e_k(n) = S^e_k(\lfloor\tfrac{n}2\rfloor)2^k + \sum_{i=0}^k \binom{k}{i} S^o_i(\lfloor\tfrac{n-1}2\rfloor) 2^i.$$
We also have $S^o_k(0)=S^e_k(0)=0$ for all $k\geq 1$, and $S^o_0(0)=0$ and $S^e_0(0)=1$.
In terms of generating functions $F^o(x,y):=\sum_{n,k\geq 0} S^o_k(n) x^n \frac{y^k}{k!}$ and $F^e(x,y):=\sum_{n,k\geq 0} S^e_k(n) x^n \frac{y^k}{k!}$, we have
$$F^o(x,y) = (1+x)F^o(x^2,2y) + (x+x^2) F^e(x^2,2y) e^y,$$
$$F^e(x,y) = (1+x)F^e(x^2,2y) + (x+x^2) F^o(x^2,2y) e^y.$$
Defining $G(x,y):=F^e(x,y) - F^o(x,y)$, we have
$$G(x,y) = (1+x)(1 - x e^y)G(x^2,2y).$$
Also, it is easy to get
$$F^e(x,y) + F^o(x,y) = \frac{1}{(1-x)(1-xe^y)}.$$
Since $G(x,y) = \frac{1}{(1-x)(1-xe^y)} - 2F^o(x,y)$, we a standalong functional equation for $F^o$:
$$F^o(x,y) = (1+x)(1 - x e^y)F^o(x^2,2y) + \frac{xe^y}{(1-x)(1-x^2e^{2y})}.$$