I don't understand the steps that you have listed here as you mention that you are running JVM COBOL. TESTCOVER is only supported with native applications and is not supported in JVM COBOL programs.
The error is actually not referring to the .idy file but the original source file that is used in compiling the program. The .idy file contains the full path name to the source file used in the compile and the error means that it cannot locate this file (.cbl perhaps).
Where is the source file located?
Thanks.