Exactly. Cognac is not for mixing. Drink it straight. If anything, you could use coke as it would be similar to rum and coke, but rum and cognac is two different things. Cognac has a way more burnt taste imo, which will bleed through the sweetness of the coke and make the whole thing undrinkable altogether. If you have to, keep a beer on the side to flush down every once in a while.
Oh, and it's "Hennessey"