In a installed Cocos2d-XNA template, I found Monogame is in the reference. But only after installing Monogame (except for a Cocos2d-XNA package) the template works.
So I don't think Monogame is in Cocos2d-XNA. But Cocos2d-XNA needs Monogame. To combine them is easy, from my experience, just install Cocos2d-XNA template, Cocos2d-XNA package, Monogame package, and Monogame3.3.
(Install template with a downloaded .vsix file, install packages through NuGet, and install Monogame3.3 with a downloaded .exe file) And I agree that Cocos2d-XNA is built on the top of Monogame, for Microsoft.Xna.Framework and other XNA things are in Monogame, and Cocos2d-XNA needs those things.