This is an easy way to do it. In 2d and using a 'fake cavalier' perspective as in the OP picture.
The shadings are not necessary. I made them trying to control the transparency and the light of both figures.
This is my proposal:
\documentclass[tikz,border=2mm]{standalone}
\def\r{0.3} % aspect between ellipse semi-axes
\pgfdeclareradialshading{rblue}{\pgfpoint{-0.4cm}{0.4cm}}
{% shading, sphere
color(0cm)=(blue!10);
color(1cm)=(blue!80)
}
\pgfdeclarehorizontalshading{hblue}{100pt}
{% shading, cylinder
color(0pt)=(blue!80);
color(40pt)=(blue!20);
color(100pt)=(blue!100)
}
\tikzset
{
arrow/.style={solid,stealth-stealth},
plane/.style={solid,fill=gray,fill opacity=0.4},
sphere/.style={solid,shading=rblue,fill opacity=0.7},
cylinder surface/.style={solid,shading=hblue,fill opacity=0.7},
cylinder base/.style={solid,fill=blue!50,fill opacity=0.7},
}
\begin{document}
\begin{tikzpicture}[line join=round,line cap=round,scale=1.5,densely dashed]
% plane, lines and labels
\draw (3,0) -- (3,-0.75);
\draw (4,0) -- (4,-0.75);
\draw[arrow] (3,-0.75) -- (4,-0.75) node[midway,above] {$R$};
\draw[plane] (-2,0) ++ (225:1.2) --++ (7,0) --++ (45:2.4) --++ (-7,0) -- cycle;
\draw (0,0) -- (4,0);
\draw (2,2) -- (4,0);
\draw (2,0) -- (4,2);
\draw (3,1) node [right] {$V$} -- (3,0);
\draw[arrow] (1.5,0) -- (1.5,2) node[midway,right] {$2R$};
% sphere
\draw (1,1) arc (0:180:1 and \r);
\draw[sphere] (0,1) circle (1);
\draw[solid] (1,1) arc (0:-180:1 and \r);
% cylinder (and topmost line)
\draw (4,0) arc (0:180:1 and \r);
\draw[cylinder surface] (4,0) arc (0:-180:1 and \r) -- (2,2) arc (180:360:1 and \r) -- cycle;
\draw[cylinder base] (3,2) ellipse (1 and \r);
\draw (0,2) -- (4,2);
\end{tikzpicture}
\end{document}

Edit 1: I know you want an area in different color but I don't know which one.
Edit 2: Following Black Mild's comment I filled the inner cone in another color. But to do this I prefer a 3d drawing, so there it is:
\documentclass[border=2mm]{standalone}
\usepackage {tikz}
% isometric axes
\pgfmathsetmacro\xx{1/sqrt(2)}
\pgfmathsetmacro\xy{1/sqrt(6)}
\pgfmathsetmacro\zz{sqrt(2/3)}
\def\r{2} % radius
\pgfdeclareradialshading{rblue}{\pgfpoint{-0.4cm}{0.4cm}}
{% shading, sphere
color(0cm)=(blue!10);
color(1cm)=(blue!80)
}
\pgfdeclarehorizontalshading{hblue}{100pt}
{% shading, cylinder
color(0pt)=(blue!80);
color(30pt)=(blue!20);
color(100pt)=(blue!100)
}
% styles
\tikzset%
{%
isometric/.style={x={(-\xx cm,-\xy cm)},y={(\xx cm,-\xy cm)},z={(0cm,\zz cm)}},
plane/.style={fill=gray,fill opacity=0.4},
sphere/.style={shading=rblue,fill opacity=0.7},
cylinder surface/.style={shading=hblue,fill opacity=0.7},
cylinder base/.style={fill=blue!50,fill opacity=0.7},
cone/.style={fill=red,fill opacity=0.5}
}
\begin{document}
\begin{tikzpicture}[isometric,line cap=round,line join=round]
% plane and points
\draw[plane] (-3,-9,-2) -- (-3,4.5,-2) -- (3,4.5,-2) -- (3,-9,-2) -- cycle;
\draw[dashed] (0,-6,-2) -- (0,4.5,-2);
\foreach\y in {-6,0}
\draw[fill=green] (0,\y,-2) circle (1pt);
% sphere
\draw (0,-6,0) ++ (315:2) arc (315:135:2);
\draw[sphere] (0,-6,0) circle (2cm);
\draw (0,-6,0) ++ (-45:2) arc (-45:135:2);
% cone
\draw[cone] (2,0,2) arc (0:90:\r) -- (0,-2,-2) arc (-90:180:2) -- cycle;
\draw[cone] (0,0,2) circle (2);
% cylinder
\draw (0,0,-2) ++ (315:2) arc (315:135:2);
\draw[cylinder surface] (0,0,-2) ++ (-45:2) arc (-45:135:2) --++ (0,0,4) arc (135:-45:2) -- cycle;
\draw[cylinder base] (0,0,2) circle (2);
% lines and points
\draw[dashed] (0,-6,2) -- (0,4.5,2);
\foreach\y in {0,2}
\draw[dashed] (0,\y,2) -- (0,\y,5);
\draw[stealth-stealth] (0,4.5,2) -- (0,4.5,-2) node [midway,right] {$2R$};
\draw[stealth-stealth] (0,0,5) -- (0,2,5) node [midway,above] {$R$};
\foreach\y in {-6,0}
\draw[fill=green] (0,\y,2) circle (1pt);
\end{tikzpicture}
\end{document}
