Polyurethane in thin sheets is not particularly stiff, nor particularly light relative to its stiffness. It won't stay in a cone shape unless it's sealed and inflated.
Rolled cones are relatively easy to do in aluminum, and in the very thin steel used in 'tin' cans.
How do you plan to close the seam, and attach the cone at the ends to, whatever?
What's the approximate diameter of the rocket?
How high do you expect it to go?
Mike Halloran
Pembroke Pines, FL, USA