How can I find the volume of a cone in terms of theta?

The angle of the sector not taken is $2\pi-\theta$. The length of the circular arc with central angle $2\pi-\theta$ radians and radius $r$ is $r(2\pi-\theta)=2\pi r-\theta r$ (by the definition of radian measure). When you form the cone, this will be the circumference of the circle at the base of the cone. The radius of that circle is $\frac{2\pi r-\theta r}{2\pi}=r\left(1-\frac{\theta}{2\pi}\right)$ (call it $R$).

The "slant height" of the cone is the radius of the original circle, $r$, and is the hypotenuse of a right triangle with base $R=r\left(1-\frac{\theta}{2\pi}\right)$ and height $h$ (let's say). Therefore

$$h=\sqrt{r^2-\left[ r\left(1-\frac{\theta}{2\pi}\right) \right]^2}$$ $$=r\sqrt{\frac{\theta}{\pi}-\frac{\theta^2}{4\pi^2}}$$

Therefore the volume of the cone will be

$$V=\frac 13\pi R^2h=\frac 13\pi\left[r\left(1-\frac{\theta}{2\pi}\right)\right]^2\left[r\sqrt{\frac{\theta}{\pi}-\frac{\theta^2}{4\pi^2}}\right]$$ $$=\frac 13\pi r^3\left(1-\frac{\theta}{2\pi}\right)^2\left(\sqrt{\frac{\theta}{\pi}-\frac{\theta^2}{4\pi^2}}\right)$$

You could simplify that further, as you like.

Note that the answer would have been significantly easier if you defined $\theta$ to be the central angle of the sector left after cutting rather than of the sector that was cut. If we define $\Theta$ as that central angle that was left, we end up with

$$V=\frac 13\pi r^3\left(\frac{\Theta}{2\pi}\right)^2 \sqrt{1-\left(\frac{\Theta}{2\pi}\right)^2}$$