Thank you DaleSpam, now I can draw integrals in rectangular coordinates, for example, the integral
RegionPlot3D[-2 < x < 2 && -\[Sqrt](4 - x^2) < y < \[Sqrt](4 - x^2) && x^2 + y^2 < z < 4, {x, -2, 2}, {y, -2, 2}, {z, 0, 5}, PlotPoints -> 50, Mesh -> True, AxesLabel -> Automatic]
will draw...