The following code produces (if you can call it like that) a sphere, a cone and the axis.
\definecolor{uuuuuu}
{rgb}{0.26666666666666666,0.26666666666666666,0.26666666666666666}
\begin{tikzpicture}[line cap=round,line join=round,>=triangle45,x=0.6319115323854658cm,y=0.6230529595015575cm]
\clip(-5.8,-5.87) rectangle (6.86,6.97);
\draw(-0.06,1.18) ellipse (2.5276461295418633cm and 2.49221183800623cm);
\draw [rotate around={-0.0028361439127783258: (-0.06000197010244789,1.14019999024578)}] (-0.06000197010244789,1.14019999024578) ellipse (2.563576086468462cm and 0.42243278249466193cm);
\draw [dash pattern=on 2pt off 2pt] (-0.06,1.18)-- (-0.07,-2.84);
\draw (-0.06,1.18)-- (-0.06,6.52);
\draw (-0.07,-2.84)-- (5.87,-2.84);
\draw [dash pattern=on 2pt off 2pt] (-0.07,-2.84)-- (-4.87,-2.81);
\draw [dash pattern=on 2pt off 2pt] (-0.07,-2.84)-- (4.58,0.52);
\draw (-0.07,-2.84)-- (-3.28,-5.39);
\draw [line width=1.6pt] (-0.07,-2.84)-- (3.9369538990052764,1.0239246040321484);
\draw [line width=1.6pt] (-0.07,-2.84)-- (-4.056969330896825,1.024320303603237);
\draw (-3.52,-0.11) node[anchor=north west] {$\sqrt{2}R$};
\draw (-0.06052244670647568,0.9699764239967823)-- (3.9369538990052764,1.0239246040321484);
\draw (0.89,2.05) node[anchor=north west] {$R$};
\begin{scriptsize}
\draw [fill=black] (-0.07,-2.84) circle (1.5pt);
\draw [fill=uuuuuu] (-0.06052244670647567,0.9699764239967822) circle (1.5pt);
\end{scriptsize}
\end{tikzpicture}
I drew the shape on Geogebra. However I do not like the result. Also I want to color the cone in grey. I don't how to color it (or what command to insert both in Geogebra or in tikz)
Any help on improving the shape and color the cone, would be grateful.
P.S: I use the following packages for re-creating the shape in LaTeX:
\usepackage{pgf,tikz}
\usepackage{tkz-tab}
\usetikzlibrary{shapes,snakes,arrows,backgrounds}
\usetikzlibrary{scopes,svg.path,shapes.geometric,shadows}

