I've used Cokin A, Cokin P, and Lee filter holders. There are issues with each of these that you will need to consider between price and what lenses it can work with. There are plenty of blog posts about the various merits of each.

The first consideration would be to get a circular polarizer with threads (rather than a thin one that lacks front threads). Then you can screw the adapter for the square filter system into it.

This works especially well if you have a number of lenses that have the same size filter threads. Most of my lenses are either 52 or 77 (I have a few that are other sizes, but they tend to find themselves used only in special situations and the 72mm has a stepping ring to 77mm for those filters).

The advantage here is that this solution is system agnostic.

When it comes to looking at rotations for filters, I strongly believe that you will find greater versatility with the Lee system than the Cokin system. The reason for this is that the Lee rotation approach is to stack two holders on top of each other, allowing for each to be rotated independently. The Cokin approach to rotation filters is to make a filter slot that can hold a special rotatable filter.

The problem with the special rotatable filter for Cokin is that it is firmly bound to the Cokin system and cannot be used anywhere else. Lee and Cokin Z sizes are both standard 4" / 100mm filters, but you can't rotate Cokin Z independently nor can you put a Cokin Z round filter in any other system.

The advantage for Lee isn't only with the polarizer being rotatable but also stacking grads to be rotated against each other (one ND grad this way, and then a blue grad 30° off of that - or whatever you want to do).

Yes, this will add to the depth of the filter holder system. Remember that the filter holders can be adjusted so that they have fewer slots to cut back on the thickness... and also you probably won't be shooting with wide angles that would have issue with the CPL in the sky.

You would need a minimum of two filter slots in one - one for the filter, one for the adapter, and one filter slot in the other (for the other filter).

The stack would look like:

(from https://www.flickr.com/photos/topside/6688569477/ - note the filters in use are the circular polarizer and a .6 ND hard edge grad)

I wouldn't recommend this setup if you are going to be shooting very wide, but then again, I would have reservations using a polarizer if you are shooting wide in the first place.