Let $g(x,y) = 3x^2+2xy+y^2$ and let $h(u) = e^u$. Notice that $h(g(x,y)) = e^{3x^2+2xy+y^2}$.
In this case, it can be a good idea to integrate along level surfaces. Let $A(u)$ denote the area of the region contained within $g(x,y) \leq u$.
This is basically like calculating the area of the ellipse. By using the transformation given by $r = \sqrt{3}x+y/\sqrt{3}$ and letting $p = \sqrt{2/3}y$, we get that our region in the $r-p$ plane is a circle with $r^2+p^2 \leq u$, whose area can easily be calculated as $\pi u$. Notice that this area becomes $\pi u / \sqrt{2}$ in the $x-y$ plane to account for Jacobian of our transformation.
Now $A(u) := \pi / \sqrt{2} u$ from above. We can then calculate the value of the double integral as a single integral of the form:
$$\int_{0}^{1} A'(u)h(u) du = \pi / \sqrt{2} \int_{0}^{1} e^u du = \pi (e-1) / \sqrt{2}$$
Which was the result that was sought.