You can always buy insurance from anywhere you want. It does not matter if you currently have other insurance or not. So if you want other insurance, go ahead and buy it and drop the COBRA insurance.
If you were to buy health insurance through the Healthcare Marketplace, there are restrictions on qualifying for a tax credit ('subsidy') if you are eligible for employer insurance, but if you quit COBRA coverage, that restriction does not apply.
As for qualifying for the deduction, in my opinion COBRA insurance DOES qualify for the Self Employed Health Insurance deduction (although it is a gray area). The requirement is NOT that the "policy" has to be in the name of the business; the requirement is that that "plan" needs to be established under the business. In my opinion (as well as other tax professionals), the business "plan" for insurance can be through your former employer's COBRA plan.
