To my surprise, cobalt phosphate can be melted around 1100°C without decomposing.
Intuition, and nothing more, suggests that Co would dissolve separately in liquid Fe, O would react with Fe, and P dissolve in Fe before slowly evaporating.
An other worry is that a solid can lose or change its colour by dissolving.
But you might try to sinter a thin powder mix
of cobalt phosphate and steel. This can happen well below 1100°C.
If you get nice colours, please show us!