I'm adding this answer because the other answers so far answer different questions (either a different region, or a different method) than what was originally asked. I'm also going to try to explain my work in more depth to make it easier to follow along.
Note that the cone $z = \sqrt{(x^2 + y^2)}$ can be represented in spherical coordinates as $\phi = \frac{\pi}{4}$. You already calculated that $z = r \sin \phi$, and we know from the spherical coordinate transform that $z = r \cos \phi$. Combining these two equations, we get $\sin \phi = \cos \phi$ or $tan \phi = 1$, which means $\phi = \frac{\pi}{4}$. Intuitively/geometrically, you can also imagine that the cone covers the full range from $\theta = 0$ to $\theta = 2 \pi$ of rotation around the z-axis, meaning $\theta$ can be any value, and the radius can be any value as well (the cone is unbounded above), so the only parameter needed to define the cone is $\phi$.
To set up the region of integration, we know that to calculate the volume of the sphere, we would have the radius ranging from 0 to 1, with $\theta$, the angle of rotation around the z-axis, ranging from 0 to $2 \pi$, and $\phi$, the angle with the z-axis, ranging from 0 to $\pi$. In this case however, we want to exclude the region of the cone, which is the region from $\phi = 0$ to $\phi = \frac{\pi}{4}$. Thus we want to include $\phi$ only over the range from $\frac{\pi}{4}$ to $\pi$.
Thus, we have the below integral:
$$\int_{0}^{1} \int_{0}^{2 \pi} \int_{\frac{\pi}{4}}^{\pi} r^2 sin(\phi) d\phi d\theta dr$$
where $r^2 sin(\phi)$ comes from the change of base formula, and can be calculated as the absolute value of the determinant of the derivative matrix of $x$, $y$, $z$ with respect to $r$, $\theta$, and $\phi$.
The integral can be evaluated in any order, probably $\theta$ then $r$ then $\phi$ to get $2 \pi \frac{1}{3} (1 + \frac{1}{\sqrt{2}}) \approx 3.58$.
A quick intuitive check confirms that this answer makes sense: the volume of the sphere is given by $\frac{4}{3}\pi r^3$ which in this case is just $\frac{4}{3}\pi \approx 4.19 $, and we're taking out a small fraction of the top half of the sphere.
Best Answer
Find orthogonal vectors each of length (radius) $2$ in the plane given:
$(1, \sqrt{3},0)$ and $(0,0,2)$
Now create a trigonometric (polar) sum of these vectors:
$$\cos \theta (1, \sqrt{3}, 0) + \sin \theta (0,0,2) = (\cos \theta, \sqrt{3} \cos \theta, 2 \sin \theta)$$
In traditional polar coordinates:
$$(r, \theta, \phi) \to (2, 60^\circ, \phi)\ {\rm for}\ 0 < \phi < 2 \pi $$