If I want to get cookie value from a web service, I would write a custom wrapper that makes use of the get('<cookie_name>') function of the Cookie object. Then, I would project this as a required datatype and pass it as an interpolation variable to the next view.
The datasources such as JSON / XML, that supports REST webservice as their source, can pass the header values to the service. However, its not possible to get the cookie values.
You could refer to the samples availale under <DENODO_HOME>/samples/vdp/customWrappers and also the sections under '[Developing Custom Wrappers](https://community.denodo.com/docs/html/browse/6.0/vdp/developer/developing_extensions/developing_custom_wrappers/developing_custom_wrappers)' of Virtual DataPort Developer Guide for more information on custom wrappers development.
Hope this helps!