Well, physicists don't often use Lebesgue integrals in practical computations, so they don't invent their own notation for that. But if they did, I guess they would write it something like
$$\int df\,x(f)$$
where ##df## would be an infinitesimal. Here ##x(f)## is the inverse of ##f(x)## and the nontrivial thing to take into account is that ##x(f)## can be a multivalued "function", some branches of which have actually a negative contribution to the integral, which somehow should be incorporated into the notation too. My proposal is
$$\int d_s f\,x(f)$$
where
$$d_s f=-df \, {\rm sign}\frac{df(x)}{dx}$$
EDIT: I have never seen such a representation of Lebesgue integrals before, I've just invented it. Is it really new, or has somebody somewhere already done something similar?