Well, Colette is an obvious fore-clipped version of Nicolette. And Nicolette is a diminutive of Nicole. But as to Cosette, I have no clue. Could it be a feminine version of Nicos (Nicos -> Nicosette -> Cosette)? Nicos is Greek for Nicolas.
I think your theory hold water, 'lassia :) I suspect that the "s" comes from the French version "Nicholas" (the Greek female version of Nikos is Nike).