The cotton liner's for looks or comfort. Since you won't be wearing the coat next to your bare skin, it's unnecessary. In shopping around you'll find wool/nylon blends, usually 15-20% nylon. This means they've used cheaper wool with shorter fiber lengths and need to add longer, nylon filaments to the thread to strengthen it. 100% wool garments will be more expensive and generally made from a better quality wool. Whether or not it's worth it or not is up to the individual.
I live and hunt in the midwest and have spent a lot of time outdoors in the winter in cotton. I'm still alive, but I'm never more than 2-3 miles from my vehicle. If you're camping in the mountains then I reckon cotton could be a mistake. Generally I don't worry about it; but, anymore, I usually wear a polyrazmatazz base layer under my shirt and coat.