I would like to clarify that Cognos Analytics on Premises and also Cognos Analytics on Cloud - Hosted includes a Dendo connector as shown here:
In that official IBM page, you can select the different Cognos Analytics versions and check the supported sources.
You could also find interesting information in this community question in the IBM community site:
When using the Denodo connector, most of the queries will be delegated to the Denodo Virtual DataPort Server.
The Denodo connector is not available in Cognos Analytics on Cloud, so for that tool you could use a generic JDBC connector for connecting to Denodo, and with that generic connector Cognos will not be able to delegate most of the queries or functions to Denodo.
Hope this helps!