Joint density of $(X,Y)$ is $$f(x,y)=2e^{-(x+y)}\mathbf1_{0<x<y}=e^{-(y-x)}\mathbf1_{y>x}\,2e^{-2x}\mathbf1_{x>0}\tag{1}$$
You are right that this is the joint density of the minimum and maximum order statistics for a sample of size 2 drawn from $\mathsf{Exp}(1)$ population.
What you can also see from $(1)$ is that $Z=Y-X\sim\mathsf{Exp}(1)$, independent of $X$.
(Here is a relevant post of the above fact.)
Therefore, without any actual integration,
\begin{align}
P(Y<3X)&=P(Z<2X)
\\&=\int P(Z<2x\mid X=x)f_{X}(x)\,dx
\\&=2\int_0^\infty (1-e^{-2x})e^{-2x}\,dx
\\&={\int_0^\infty 2e^{-2x}\,dx}-\frac{1}{2}\int_0^\infty 4e^{-4x}\,dx
\\&=1-\frac{1}{2}=\frac{1}{2}
\end{align}
While this might not be what you are looking for, this is one possible way.