in LF1...

first chapter, it's a bird's nest... it hatches in chapter two of LF1... if you are in LF3 already, you would have to start over at LF1 to get cocka cocka... or use someone else's save file
You can also use a mattress or something to make cocka cocka hatch in the first chapter already (recommended so you can level him up, he's quite powerful at higher levels....