I found this possible solution:
Let $r^2=x^2 + y^2, x = r \cos(\theta)$ and $y=r\sin(\theta)$. Then:
$$ \begin{split} \lim_{(x,y) \to (0,0)} \frac{x^2}{\sqrt{x^2 +y^2}} &= \lim_{r \to 0} \frac{(r \cos(\theta))^2}{\sqrt{r^2}} \\ &= \lim_{r \to 0} \frac{r^2 \cos^2(\theta)}{r} \\ &= \lim_{r \to 0} r \cos^2(\theta) \end{split}$$
Since $\lvert \cos^2(\theta)\rvert \leq 1$ and $\lim\limits_{r \to 0} r = 0$, we have:
$$ \lim_{r \to 0} r \cos^2(\theta) = 0 = \lim_{(x,y) \to (0,0)} \frac{x^2}{\sqrt{x^2 +y^2}} $$
I learned this substitution in this class.
First of all I would like to know if my solution is possible, but I would also would like to see a prove that does not use this kind of substitution.
We have that
$$0\leq\frac{x^2}{\sqrt{x^2+y^2}}\leq\frac{x^2+y^2}{\sqrt{x^2+y^2}}=\sqrt{x^2+y^2}.$$
Letting $(x,y)\to(0,0)$ we get the desired result.
Also yes your solution works, albeit it's a bit overkill to do a substitution here.