Consider a partition $a = x_0 < x_1 < \ldots < x_n = b$ and for a subinterval $I_j = [x_{j-1},x_j]$ define
$$D_{j}(g) = \sup_{x \in I_j}g(x) - \inf_{x \in I_j}g(x) = \sup_{x,y \in I_j}|g(x) - g(y)| \\ D_{j}(f \circ g ) = \sup_{x \in I_j}f(g(x)) - \inf_{x \in I_j}f(g(x)) = \sup_{x,y \in I_j}|f(g(x)) - f(g(y))|$$
Since $f$ is continuous it is uniformly continuous and bounded (by extension if necessary) on a closed interval $[c,d]$ such that $g([a,b]) \subset [c,d].$
Hence, $|f(x)| \leqslant M$ for $x \in [c,d]$ and for every $\epsilon >0$ there exists $\delta > 0$ such that if $|x_1 - x_2| < \delta$ then $|f(x_1) - f(x_2)| < \epsilon/(2(b-a))$ .
Since $g$ is integrable, if the partition norm $\|P\|$ is sufficiently small we have
$$U(P,g) - L(P,g) = \sum_{j=1}^n D_j(g) (x_j - x_{j-1}) < \frac{ \delta \epsilon}{4M}.$$
We can split the upper-lower sum difference $U(P,f \circ g) - L(P, f \circ g)$ into two sums as given by
$$\tag{1}U(P,f \circ g) - L(P, f \circ g) = \sum_{D_j(g) \geqslant \delta} D_j(f \circ g)(x_j - x_{j-1}) + \sum_{D_j(g) < \delta} D_j(f \circ g)(x_j - x_{j-1})$$
In the second sum on the RHS of (1) we have $D_j(f \circ g) < \epsilon/(2(b-a)$ since by uniform continuity $D_j(g) < \delta \implies |g(x) - g(y)| < \delta \implies |f(g(x)) - f(g(y))| < \epsilon/(2(b-a)$ for all $x,y \in I_j$.
Thus,
$$\tag{2}\sum_{D_j(g) < \delta} D_j(f \circ g)(x_j - x_{j-1}) < \frac{\epsilon}{2}$$
Considering the first sum on the RHS of (1), first note that
$$\sum_{D_j(g) \geqslant \delta} (x_j - x_{j-1}) \\ < \delta^{-1}\sum_{D_j(g) \geqslant \delta} D_j(g)(x_j - x_{j-1}) < \delta^{-1} [U(P,g) - L(P,g)] < \delta^{-1} \frac{\delta \epsilon}{4M} = \frac{\epsilon}{4M} .$$
Hence,
$$\tag{3}\sum_{D_j(g) \geqslant \delta} D_j(f \circ g)(x_j - x_{j-1}) < \sum_{D_j(g) \geqslant \delta} 2M(x_j - x_{j-1}) < \frac{\epsilon}{2}.$$
From (1), (2) and (3) we obtain
$$U(P,f \circ g) - L(P, f \circ g) < \epsilon,$$
and conclude that $f \circ g$ is integrable.
Best Answer
hint
Let $ \epsilon>0 $ small enough.
Consider the partage $$P=(0,1-\frac{\epsilon}{3},1+\frac{\epsilon}{3},2)$$
then
$$U(f,P)-L(f,P)=$$ $$(1-1)(\frac{1-\epsilon}{3}-0)+$$ $$(1-0)(1+\frac{\epsilon}{3}-(1-\frac{\epsilon}{3}))+(1-1)(2-(1+\frac{\epsilon}{3}))=$$ $$\frac{2\epsilon}{3}<\epsilon$$
Its integral is given by
$$\int_0^1f+\int_1^2f=$$ $$\lim_{n\to+\infty}(\int_0^{1-\frac 1n}dx+\int_{1+\frac 1n}^2dx)=$$ $$\lim_{n\to+\infty}(1-\frac 1n)+(2-1-\frac 1n)=$$ $$\lim_{n\to+\infty}(2-\frac 2n)=2$$m