How does Venonat evolve directly into Venomoth? I mean, why isn’t there some “cocoon” variant of pokémon in the middle?

I think this is the wrong question.  Lots of Pokémon go through metamorphoses just as dramatic or more so (Magikarp being perhaps the most extreme example) and don’t need the kind of intermediate form that many real-world insects require.  Why should we be surprised that Venonat works exactly like the vast majority of other Pokémon?  Surely it’s Caterpie, Weedle, Wurmple and Scatterbug that demand an explanation – why do they need transitional forms that most other Pokémon can do without?  I think it probably has to do with how quickly they evolve; they just don’t have the time to prepare for evolution to their final forms gradually the way most Pokémon do, and have to devote a whole extra form to focus on building reserves of energy.  Kricketot is sort of the exception that proves the rule – the only other Pokémon who reaches his final form at such a low level, and he does it without a dedicated cocoon phase, but the only attacking move he starts with is Bide, which is all about storing energy.