I'm a Cobol developer that learned how to be a Java developer.
Coding in Java requires a different way of thinking about the problem than coding in Cobol. Java is object oriented, while Cobol is procedural. In Java, you have variable encapsulation, while in Cobol, all variables are global. Java can be used to develop all sorts of applications, while Cobol was designed for CRUD data processing. In Java, you have a vast number of libraries to use, while in Cobol, the developer pretty much has to write everything. Some Cobol shops have subroutine libraries, while others don't.
Then you have the scale differences. Java classes tend to be less than 1,000 lines of code. A Cobol program could easily be 20,000 or even 200,000 lines of code. A Cobol program is roughly equivalent to a Java project.
There are some similarities between Cobol and Java. A Cobol procedure is roughly analogous to a Java method. Cobol Working Storage is a good introduction to one use of a Java interface. Cobol 01-level structures are a good introduction to Java bean classes.
A better way to teach a Cobol programmer Java is to build on the similaries first, then cover the differences.