The first part of this Pokémon's name is a reference to a metal, Cobalt. This is also a reference to the fact this Pokémon is a Steel Type Pokémon, as well as the Pokémon's color; Cobalt, a shade of blue.
Cobalion along with Keldeo, Terrakion and Virizion seem to resemble Entei, Suicune, and Raikou by them all being able to walk on four legs, they are all legendary that can be used in the Gear Station, and they all seem to be tied together. Additionally, Cobalion is the same height as Entei, Terrakion is the same height as Raikou, and Virizion is the same height as Suicune.
Cobalion is the first Fighting-type legendary besides Arceus's Multitype.
The Best Pokéball to catch this Pokemon in (as well as Terrakion) is the Dusk Ball.