Warm cooler: Why is that beer jacket a 'koozie'?. One reason might be that cozy sounds off-kilter in the context of keeping something cold; the adjective cozy has always meant safe and snug, strongly implying warmth. And if you're selling koozies, a unique name – one that sounds cool-ish and doesn't evoke tea cozies – is clearly an improvement.
Could it be that the term is a compound word of of cool and cozy? For example: "Boy this neat drink cover not only keeps my beverage cool, but it also keeps my hand warm and cozy." Coozy!