It's possible to do what you want to do, but it's a little fiddly to use. Certainly doable, though.

1. Screw the K&F Concept VND onto the lens.
2. Screw the correct Cokin Z lens adapter onto the front of the VND filter.
3. Adjust the VND to the desired light stoppage.
4. (Optional, but recommended) Tape down the VND so it can't rotate. You don't need a lot of tape, just a small tab or two. I highly recommend finding gaffer's tape for this — it won't leave a residue, is easy to remove, and is restickable so you can lift the tape, adjust the VND rotation, re-stick, etc.
5. Attach the Cokin Z holder with whatever square filters you wish to use.
6. Take the shots.

I've done this with my 100 mm square filter system, and various different circular polarizers mounted to the lens. It's a bit tedious, but it works, and more importantly, doesn't limit you to just the thin CPL that is made to only fit a particular holder brand.

Other than the fiddle nature of the setup, the other major drawback is that sometimes it's difficult to remove filters (or adapters, in this case) that were mounted onto the front of a rotating-ring polarizer (which the VND counts as). This is especially true of aluminum filter rings & threads, which the vast majority of screw-on filters are these days (including K&F Concepts' filters). Be sure to buy a couple inexpensive filter wrenches and keep them with you in the field, incase the Cokin adapter gets a bit stuck onto the K&F VND.

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Special note for K&F Concept VND filters

With the K&F Concept VND filters, you have to pay special attention to the fact that the rear (male) threads of the VND are a different diameter than the front (female) threads. In essence, in addition to being a variable ND filter, the K&F VND also acts as a step-up ring.

For instance, say you want to fit the VND onto a lens with a 67 mm filter thread. The K&F VND filter with a 67 mm male thread has a front female thread of 72 mm. That means you would need the Cokin Z 72 mm adapter in order to mount the square filter holder.

But now, you can't mount the Cokin holder onto the lens without the K&F VND, unless you either also buy the Cokin Z 67 mm adapter, or you buy a 67–72 mm step-up ring in order to use the 72 mm Cokin adapter. The step-up ring is definitely the cheaper option.

The FAQ section at the K&F Concepts' VND product page states,

What is the lens hood/lens cap size if used on variable ND filters?

For this series, front thread diameter is bigger than the back thread diameter.

Variable ND filter size      other accessories size
37mm                         40.5mm
40.5mm                       43mm
43mm                         46mm
46mm                         49mm
49mm                         52mm
52mm                         55mm
55mm                         58mm
58mm                         62mm
62mm                         67mm
67mm                         72mm
72mm                         77mm
77mm                         82mm
82mm                         86mm