Under the present circumstances, when we are still under the threat of different strains of coronavirus, and since the most widely used method for COVID-19 detection, RT-PCR is a tedious and time-consuming manual procedure with poor precision, the application of Artificial Intelligence (AI) and Computer-Aided Diagnosis (CAD) is inevitable. Though, some vaccines have now been authorized worldwide, it will take huge time to reach everyone, especially in developing countries. In this work, we have analyzed Chest X-ray (CXR) images for the detection of the coronavirus. The primary agenda of this proposed research study is to leverage the classification performance of the deep learning models using ensemble learning. Many papers have proposed different ensemble learning techniques in this field, some methods using aggregation functions like Weighted Arithmetic Mean (WAM) among others. However, none of these methods take into consideration the decisions that subsets of the classifiers take. In this paper, we have applied Choquet integral for ensemble and propose a novel method for the evaluation of fuzzy measures using coalition game theory, information theory, and Lambda fuzzy approximation. Three different sets of fuzzy measures are calculated using three different weighting schemes along with information theory and coalition game theory. Using these three sets of fuzzy measures, three Choquet integrals are calculated and their decisions are finally combined. Besides, we have created a database by combining several image repositories developed recently. Impressive results on the newly developed dataset and the challenging COVIDx dataset support the efficacy and robustness of the proposed method. Our experimental results outperform many recently proposed methods.