I honestly don't know if there are cotton yarns available. I've looked, even at specialty stores, but never seen anything but wool and acrylic. Cotton twine does seem relatively easy to obtain and is available in thicknesses comparable to some yarns, but ... the range of color is not wide. Mostly I've seen beige/jute color, with the occasional white. And since I'd rather not make a headcovering that looks like a giant macrame project, I'd rather work with several strands of thin colored thread. It seems to work fine, so why not?