How to approach multivariable integration problems?

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I have a problem that seems to be a cylindrical conversion problem, but I could not find bounds for r.

The problem asked me to find the volume bounded by $z = (2x)^2 + y^2$ and $z+y^2 = 2$.

I first drew the graph

The oval has a shape like this, disappears if z = 0

The oval has a shape like this, disappears if z = 0 The surface curved like this along z-y continuous inf for all x

The surface curved like this along z-y continuous inf for all x

So I choose cylindrical conversion $x = r\cos\theta, y =r\sin\theta, z = z$ bounds are $0<z<2, 0<\theta<2\pi$, but what is r? I think it is changing from $\sqrt{z}/2$ to $\sqrt{z}$ governed by $\theta$.

I know I want to setup something like $\iiint dzrdrd\theta$ but I am not sure what do I put in there, just an empty integral?