Taken the equation of an ellipse
$$x^2/a^2 + y^2/b^2 = 1$$
The parametric equation of an ellipse is usually given as
$\begin{array}{c} x = a\cos(t)\\ y = b\sin(t) \end{array}$
Let's rewrite this as the general form (*assuming a "friendly" shape, i.e. only one point for each radial vector at angle T)
$\begin{array}{c} x = r(t)\cos(t)\\ y = r(t)\sin(t) \end{array}$
where $r(t)$ is the radius at angle $t$. This mimic the idea of a sin/cos pair with variable radius (which is, indeed, an ellipse)
So how can $r(t)=a$ and $r(t)=b$ at the same time?


Let's look at the suggested form: $$\left\lbrace \begin{aligned} x &= r(\theta) \cos(\theta) \\ y &= r(\theta) \sin(\theta) \\ \end{aligned} \right.$$ As Achille Hui mentioned in a comment to the question, this can seem paradoxical, because $\theta$ is not the ordinary polar angle here. We all know that the expected form is $$\left\lbrace \begin{aligned} x &= a \cos(\theta) \\ y &= b \sin(\theta) \\ \end{aligned} \right.$$
Note, "seem paradoxical". Whether one finds it paradoxical or not only depends on what one thinks $\theta$ is. The suggested form is written with $\theta$ as the proper polar angle; it is not that in the expected form, because here, $\theta \ne \arctan(y/x)$ (assuming $a \ne b$, and excepting the four points where $x = 0$ or $y = 0$).
In the expected form, $\theta$ is just an angular parameter, eccentric angle, which is related to the actual polar angle $\varphi$ via, $$\theta = \arctan\left(\frac{a y}{b x}\right) = \arctan\left(\frac{a}{b}\tan\varphi\right) \iff \varphi = \arctan\left(\frac{b}{a}\tan\theta\right)$$
In a polar coordinate system, this ellipse is described by $$r(\varphi) = \frac{a b}{\sqrt{(b \cos\varphi)^2 + (a \sin \varphi)^2}} $$
You can always convert from polar to Cartesian coordinates, getting $$\left\lbrace\begin{aligned} x &= \frac{a b}{\sqrt{(b \cos \varphi)^2 + (a \sin \varphi)^2}} \cos\varphi \\ y &= \frac{a b}{\sqrt{(b \cos \varphi)^2 + (a \sin \varphi)^2}} \sin\varphi \\ \end{aligned}\right.$$ where $\varphi$ is the correct polar angle; $\varphi = \arctan(y/x)$.
The difference between polar angle $\varphi$ and eccentric angle $\theta$ is subtle, but important. It is also quite annoying for us non-mathematicians, because we do not always notice the difference, and get bitten by it.