I received a non kosher Cognac from a Non Jew.
May I “re-Gift” it to another non-Jew?
Yes, you can be lenient in this matter and re-gift the cognac.
The status of stam yeinam for purposes of deriving benefit depends on who produced it.
If the wine (or cognac, which has the same status) is manufactured by non-idolaters, it is permitted to derive benefit from the wine by giving it to a non-Jew.
Because it is hard to know who manufactured the wine, and because of the general decline in religious belief (this can depend on where the wine was made), there is room for leniency. If it was manufactured by Christians, there is a dispute among authorities as to whether it is permitted or not, and there remains room for leniency, certainly where some loss is involved (for instance, where an alternative gift will have to be bought to replace the wine).
This answer does not address the general question of giving gifts to non-Jews, which we have addressed elsewhere.
Although the prohibition of stam yeinam does not apply to wine that has been cooked (boiled or heated to a high temperature; see Minchas Yitzchak vol. 7, no. 61), in the case of non-kosher wine, the concern is that the wine was handled and poured by non-Jews before the heating process (for pasteurized wine), and the stringency would therefore remain.