Something like this?
\documentclass{article}
\usepackage{pgfplots}
\usepackage{tikz}
\usetikzlibrary{calc}
\usetikzlibrary{arrows}
\begin{document}
\begin{tikzpicture}
\draw node[below] at (0,0,0) {$O$} coordinate (O);
\draw[->](0,0,0)--(0,3,0);
\draw node[below left] at (0,3,0) {$z$};
\draw[->](0,0,0)--(3,0,0);
\draw node[below left] at (3,0,0) {$y$};
\draw[->](0,0,0)--(0,0,4.5);
\draw node[above left] at (0,0,4.5) {$x$};
\shade[ball color = gray!40, opacity = 0.1] (0,0) circle (2cm);
\draw[thick,black](0,0) circle (2cm);
\draw[black](-2,0) arc (180:360:2 and 0.4);
\draw[densely dotted] (2,0) arc (0:180:2 and 0.4) coordinate (c);
\fill[fill=black] (0,0) circle (1pt);
\draw[densely dotted] (-1.475,1.335) arc (170:10:1.5cm and 0.3cm) coordinate[pos=0] (a);
\draw[black] (-1.475,1.335) arc (-170:-10:1.5cm and 0.3cm) coordinate (b);
\draw[densely dotted,black] (a) -- (b);
\draw[densely dotted,black] (c) -- (O);
\fill[fill=black] (0,1.335) circle (1pt);
\draw [variable=\x,samples=50,domain=-1.475:1.475] plot ({\x}, {0.6*pow(\x,2)});
\shade[top color=blue!20!white,bottom color=blue!50!white,opacity=0.75,samples=50] (1.475,1.335) --
plot (-{\x}, {min(1.335,0.6*pow(\x,2))})
-- (-1.475,1.335) arc (-170:-10:1.5cm and 0.3cm) -- cycle;
\shade[top color=blue!20!white,bottom color=blue!50!white,opacity=0.75]
(-1.475,1.335) arc (-170:-10:1.5cm and 0.3cm) --
(-1.475,1.335) arc (170:10:1.5cm and 0.3cm);
\end{tikzpicture}
\end{document}

You may also make use of the TikZ library shadings.
\documentclass{article}
\usepackage{pgfplots}
\usepackage{tikz}
\usetikzlibrary{calc}
\usetikzlibrary{arrows}
\usetikzlibrary{shadings}
\begin{document}
\begin{tikzpicture}
\draw node[below] at (0,0,0) {$O$} coordinate (O);
\draw[->](0,0,0)--(0,3,0);
\draw node[below left] at (0,3,0) {$z$};
\draw[->](0,0,0)--(3,0,0);
\draw node[below left] at (3,0,0) {$y$};
\draw[->](0,0,0)--(0,0,4.5);
\draw node[above left] at (0,0,4.5) {$x$};
\shade[ball color = gray!40, opacity = 0.1] (0,0) circle (2cm);
\draw[thick,black](0,0) circle (2cm);
\draw[black](-2,0) arc (180:360:2 and 0.4);
\draw[densely dotted] (2,0) arc (0:180:2 and 0.4) coordinate (c);
\fill[fill=black] (0,0) circle (1pt);
\draw[densely dotted] (-1.475,1.335) arc (170:10:1.5cm and 0.3cm) coordinate[pos=0] (a);
\draw[black] (-1.475,1.335) arc (-170:-10:1.5cm and 0.3cm) coordinate (b);
\draw[densely dotted,black] (a) -- (b);
\draw[densely dotted,black] (c) -- (O);
\fill[fill=black] (0,1.335) circle (1pt);
\draw [variable=\x,samples=50,domain=-1.475:1.475] plot ({\x}, {0.6*pow(\x,2)});
\shade[upper right=blue!20!white,lower left=blue!50!white,opacity=0.75,samples=50] (1.475,1.335) --
plot (-{\x}, {min(1.335,0.6*pow(\x,2))})
-- (-1.475,1.335) arc (-170:-10:1.5cm and 0.3cm) -- cycle;
\shade[upper left=blue!20!white,lower right=blue!50!white,opacity=0.75]
(-1.475,1.335) arc (-170:-10:1.5cm and 0.3cm) --
(-1.475,1.335) arc (170:10:1.5cm and 0.3cm);
\draw[gray] (0,1.335) -- (0,1.8);
\end{tikzpicture}
\end{document}
With asymptote you do not have to fake the shadings.
\usepackage{asymptote}
\begin{document}
\begin{asy}
import graph3;
import solids;
size(400);
currentprojection=orthographic(4,0,1);
defaultrender.merge=true;
defaultpen(0.5mm);
//Draw the paraboloid: call the radial coordinate r=t.x and the angle phi=t.y
triple f(pair t) {return ((t.x)*cos(t.y), (t.x)*sin(t.y), (t.x)*(t.x) );
}
// from https://tex.stackexchange.com/questions/227947/clipping-asymptote-3d-images
surface s=surface(f,(-1,1),(0,2.32*pi),32,16,
usplinetype=new splinetype[] {notaknot,notaknot,monotonic},
vsplinetype=Spline);
pen p=rgb(0,0,.7);
draw(s,rgb(.6,.6,1)+opacity(.7));
draw(scale3(sqrt(2))*unitsphere,gray+opacity(.3));
\end{asy}
\end{document}

\shadecommands. – Dec 18 '17 at 17:29