The whole inside of the cocoon is a mass of mites and fluff. Looking at the photo I took when I first collected the cocoon, I now see that there was clearly a hole in the top--so evidently the insect had already emerged. I wonder if the pupa emerged (or was taken by a predator), or if the mites actually have completely consumed the pupal skin.
I was thinking it seemed like a braconid cocoon, maybe...
[Edit: these aren't mites; see comments on the first image for explanation]