What is the database behind the COBOL application?
If it is DB2 zOS, most clients have DB2 Connect (DRDA) to enable distributed applications to connect to the mainframe. You would then install the DB2 JDBC driver or create an ODBC connection on the Denodo server to access DB2 zOS through DB2 Connect.
If the data source is IMS, VSAM, Flat Files, etc., you would need a gateway like IBM's Classic Federation or Attunity Connect (3rd party vendor) that have connectors to the legacy data source. These tools would import your COBOL copybook definitions that describes how the legacy data is defined and allow you to map the legacy data into a relational view. Then use their JDBC and ODBC drivers on the distributed Denodo server to connect to the mainframe data sources.