I'm confident with solving this question in cylindrical coordinates (for which there are few answers) but I'm doubtful about cartesian coordinates and can't seem to figure out the limits. $z$ needs to be the outer integral in the below question:
Right now, I've figured that:
$z$ must vary from $-1$ to $1$ (since it describes the radius of the cylinder).
If we make $x$ the inner integral and dependent on $y$ we could say that it varies from $-2y^2$ to $(1-2y^2)$ (obtained by substituting the cylinder equation and adding in $a=0$ & $a=1$
I'm not sure how to evaluate the middle integral and how exactly there are 2 regions over which we must integrate.


Hyperboloid $z = \sqrt{a^2+x^2+y^2} \,$ where $a \in (0,1)$ is upper portion of the hyperboloid (above $XY$ plane). Please note $z = -\sqrt{a^2+x^2+y^2}$ gives you a similar region below $XY$ plane.
Given $a \lt 1,$ it does intersect with cylinder $y^2 + z^2 = 1$.
If you visualize the region is bound below and on sides by hyperboloid and bound above by the cylinder.
In cartesian coordinates,
Bounds of $z$ is $ \,\sqrt{a^2+x^2+y^2} \leq z \leq \sqrt{1-y^2} \,$ (bound below by hyperboloid and above by the cylinder)
To find bounds of $x,y$ as you wrote, $1 - a^2 = x^2 + 2y^2 \implies y = \pm \sqrt{\frac{1 - a^2 - x^2}{2}}$
Bounds of $y$, $-\sqrt{\frac{1 - a^2 - x^2}{2}} \leq y \leq \sqrt{\frac{1 - a^2 - x^2}{2}}$
From above equation $1 - a^2 = x^2 + 2y^2$, the lower and upper bounds of $x$ (occurs when $y = 0$) is $\pm \sqrt{1-a^2}$.
Bounds of $x, \, \, -\sqrt{1-a^2} \leq x \leq \sqrt{1-a^2}$
If you need to integrate over both regions above $XY$ plane and below $XY$ plane, just multiply the integral by $2$.