I believe that what you actually want to do is this:
Integrate[x^2 + y^2 + x y, {x, 0.0001, 0.01}, {y, 0.01, 0.5}]
Note that there is whitespace between the x and y at the end of the integrand. That whitespace is necessary - if the whitespace is not there, Mathematica will interpret your input as the single symbol xy. With whitespace, you get the symbol x multiplied by the symbol y.
I get 0.000418907 once I add the whitespace in Mathematica.