Checking on support.sas.com, I turned up the following notes indicating you CANNOT use an OLE DB connection from EG to Cognos. According to these links, the reason is that Cognos is not an OLE DB for OLAP compliant data provider.
http://support.sas.com/kb/4/622.html
http://support.sas.com/kb/5/814.html
Both these links are about 8 years old... but I think the information is still accurate. It's really Cognos not providing the ability to access their cubes that seems to be the problem. If you'd like to verify this, or ask about alternatives to accessing the Cognos data, you can contact tech support (for free) using the following methods:
http://support.sas.com/techsup/contact/
Sorry I don't have better news!