So, I have integral function $f(x,y)=\int_{-2}^2\int_0^3\sqrt{(4-x^2)(9-y^2)}dydx$ that I want to solve.
Is there a more conventional (or correct, even) way of doing it than separating them as $\int_{-2}^2\sqrt{(4-x^2)}dx\int_{0}^3\sqrt{(9-y^2)}dy$,
because this right here generates a nasty integrals and I think they should generate a more fine mid-function answer.
No.
The way you started is perfectly fine and is the ideal way to do it anyway. Why is it ideal? Recall what a definite integral represents geometrically: area under a curve.
What does the graph of $y = \sqrt{4-x^2}$ look like? It's the upper half of a circle of radius $2$ centered at the origin. So what does $\displaystyle \int_{-2}^2 \sqrt{4-x^2} \, dx$ represent?
Can you take it from here?