This isn't true for a problem such as this. (I.e., infinitesimally "thin," hollow shell.)
All that's necessary is to define surface density.
[itex]\rho_s = \frac{M}{A}[/itex]
You can think of it as
mass per unit area. (If it helps to think of it in familiar units, perhaps think of it as [itex]\left[ \frac{\mathrm{kg}}{\mathrm{m^2}} \right][/itex].)
For this problem, the density of an infinitesimally thin, spherical shell is [itex]\rho_s = \frac{M}{\mathrm{Surface \ area \ of \ a \ sphere}}[/itex].
This shouldn't be too unfamiliar to you. You've probably done this before for linear density. For example, if you were finding the mass per unit length of a thin rod, you would start with [itex]\lambda = \frac{\mathrm{mass \ of \ the \ rod}}{\mathrm{length \ of \ the \ rod}}[/itex]. It's the same idea here with [itex]\rho_s[/itex], except two dimensions are involved instead of just one.
The differential mass, [itex]dm[/itex] is calculated by
[itex]dm = \rho_s (\mathrm{differential \ length})(\mathrm{differential \ width})[/itex]
A picture might help here. The following is a picture of a small, differential patch of surface on a sphere of radius [itex]r[/itex], where [itex]\theta[/itex] represents longitude and [itex]\varphi[/itex] represents latitude (well, lattidue with 0 deg and 180 deg defining the poles).
View attachment 252482
This differential mass can be used in calculating the moment of inertia, keeping care to properly specify the distance of [itex]dm[/itex] to the axis of rotation. The integral can then be carried out integrating over [itex]\theta[/itex] and [itex]\varphi[/itex] . Only two integrals are necessary.
No integration over the radius of the sphere [itex]r[/itex] is necessary. The radius of the sphere treated as a constant. (Don't confuse the radius of the sphere [itex]r[/itex] with the distance from [itex]dm[/itex] to the axis of rotation. They are different entities.)