On an (x, y) graph a circle can have the shape to the left.
If a plane intersects the cone when the plane is perpendicular to the axis of the cone, the conic section is a circle. Actually, a circle is a special case of an ellipse. The circle as a conic section is shown to the left.
Use this link to view an interactive 3D virtual reality world demonstrating the circle as a conic section.
Here is a video that shows several possibilities for forming a circle by intersecting a cone and a plane.