You're not going to get a letter confirming the loss of coverage until the loss actually occurs.
You can enroll in the ACA after you lose coverage, because that's a qualifying event.
Meanwhile, COBRA has a 60-day enrollment period that is retroactive.
So, lose the coverage, ask for the letter, wait up to 60 days knowing you can pay for and be covered by COBRA if something happens during that window, receive letter, enroll in ACA.