Create your cone as a standard part model. As an example you could loft the bottom dia to the top dia to make your cone. Then shell out the cone to some thickness. Next cut a very small cut (maybe .010) from the top to bottom on one side of the cone. Now select the edge the cut made and convert the part to sheetmetal with a 0 bend radius. It should switch to sheetmetal and be unfoldable.
The help section has good instructions on how to do this also.
Try using the lofted bends command. There is a good description in the help. Look up Lofted Bends in the help menu.
Basically you are creating a thin feature loft. You create two open sketches. In your case, two circles with a small gap. The circles are concentric and on two seperate planes. The go to INSERT> SHEETMETAL> LOFTED BENDS>. You can then input your mat'l thickness and viola its done.
