 Solution

Because $f$ is continuous, $g(x,y)=e^{-x^2}f(e^{-x^2/2}y)$ is continuous on ${\mathbb{R}}^2$, so $|g|$ is a nonnegative measurable function. Apply Tonelli's theorem before assuming integrability. For each fixed $x$, set $z=e^{-x^2/2}y$, so $dy=e^{x^2/2}dz$. Lebesgue substitution on an interval givesTherefore the Gaussian integral yieldsThis proves that $g$ is Lebesgue integrable on ${\mathbb{R}}^2$. Fubini's theorem now permits changing the order for $g$ itself. The same substitution without absolute values gives the stronger exact identityTaking absolute values and using the triangle inequality for an integral provesThe constant is sharp: any nonzero nonnegative continuous integrable $f$ gives equality. This is a weighted dilation kernel with $a(x)=e^{-x^2}$ and $b(x)=e^{-x^2/2}$. The inner $x$ integral in the requested order is guaranteed to be integrable for almost every $y$, which is all the iterated integral requires.