Marc Bélisle found interesting references concerning the mode of reproduction of certain species of the genus Orgyia. This information seems to corroborate the hypothesis of such a cocoon. Here are those references:

"Adults emerge from mid-April to early May. The flightless females remain on their cocoons and release a sex pheromone to attract males. The sex pheromones of Orgyia detrita and Orgyia leucostigma have been characterized (Grant et al. 2003, Gries et al. 2003).

After mating, the females lay a mass of eggs directly on the cocoon and cover them with a protective covering. Detrita and definita females cover their eggs with a secretion and then rub setae from their bodies onto the secretion to form a protective layer over the eggs. Leucostigma females cover their eggs with a frothy secretion but do not cover the secretion with setae (Ferguson 1978). The egg stage is the overwintering stage for all three species.

Voir Fig. 20-23 : http://entnemdept.ufl.edu/creatures/urban/medical/tussock_moths.htm

The comparison photo looks very similar. I think this is the most plausible hypothesis. Thanks for your help.

Wonder if this isn't Orgyia? The flightless females lay their eggs directly on the old cocoon.