Volume density. You can easily do it using cylindrical coordinates, $(r,\theta, z)$, with the $z$ coordinate along the axis of the disk, and $z=0$ being the $x-y$ plane. Volume density reads
$$\rho(r,\theta,z) = \sigma \delta(z) H(R-r) \ .$$
Physical dimensions. The physical dimensions are ok, since $[\rho] = \frac{\text{mass}}{\text{length}^3}$, $[\sigma] = \frac{\text{mass}}{\text{length}^2}$, and $[\delta(z)] = \frac{1}{\text{length}}$, and $[H] = 1$. You can check the physical dimension of the Dirac's delta using its "definition", $1 = \int_{z=-a}^a \delta(z) \, dz$: the result of the integral is non-dimenisonal, integration over $z$ provides a length dimension, so that $\delta(z)$ must be $\frac{1}{\text{length}}$.
Mass, and inertia. Integrating over a volume $V$ containing the disk, here the whole space:
mass reads
$$\begin{aligned}
m = \int_{V} \rho & = \int_{z=-\infty}^{+\infty} \int_{\theta=0}^{2\pi} \int_{r=0}^{+\infty} \sigma \delta(z) H(R-r) \, r \, dr \,d\theta \, dz = \\
& = \int_{\theta=0}^{2\pi}\int_{r=0}^R \sigma\, r \, dr \,d\theta = \\
& = \sigma 2\pi \frac{R^2}{2} = \sigma \pi R^2 = \sigma A
\end{aligned}$$
polar inertia w.r.t. around the axis of the disk,
$$\begin{aligned}
I_G = \int_{V} \rho \, r^2 & = \int_{z=-\infty}^{+\infty} \int_{\theta=0}^{2\pi} \int_{r=0}^{+\infty} \sigma \, r^2 \, \delta(z) H(R-r) \, r \, dr \,d\theta \, dz = \\
& = \int_{\theta=0}^{2\pi}\int_{r=0}^R \sigma\, r^3 \, dr \,d\theta = \\
& = \sigma 2\pi \frac{R^4}{4} = \sigma \pi \frac{R^4}{2} = \frac{1}{2} \, \sigma \, A \,R^2 \ .
\end{aligned}$$