Does there exist a $g$ such that $g$ is continuous on $(0,1)\times (0,1)\subset \mathbb R^2$ and that $g$ is integrable with respect to $\lambda_2$ but $\int g(x,y) d\lambda (y)=\infty$ for some $x\in (0,1)$.
The hint to find such $g$ was to consider $y^{\phi(x)-1}$ for some appropriate $\phi$ so I was trying to construct that.
I'm also thinking about the example that you gave, which didn't seem to work as $\int_0^1 \frac 1{(x^2+y^2)}d\lambda (y)=\log (1+\sqrt{x^2+1})-\log x$, which is $\lt \infty$ for every $x\in (0,1)$.