I'm trying to integrate $I = \rho\int_V(y^2+z^2)dv$ over a cone of base radius $R$ and height $H$, where $\rho$ is a constant. The coordinates $y$ and $z$ are coordinates of the volume element. In cylindrical coordinates, we have $$dv = rdrd\theta dz$$
and $$y = r\sin \theta$$
Now the integral $I$ should be $$I = \int_0^R\int_0^{2\pi}\int_0^H(r^3\sin^2\theta+z^2r)drd\theta dz$$
Is this conversion to cylindrical coordinates correct? The background of the question is the moment of inertia tensor of said cone.
Judging from the limits, the order in which you want to perform the integration is $dz~d\theta~dr$. You are almost correct, except for the upper limit on $z$: it should be $H(1-r/R)$.
Here is a cross-section of the cone. $\triangle AHF\sim\triangle ADC$ gives $\frac{H-z}r=\frac HR$ which yields the expression above.