I doubt if it can be done. You might look into moving the application to PCs by using a PC based COBOL compiler. I'm sure this will take a lot of time and you are probably looking for a quick solution. You would have the advantage of being able to leave behind the cost of maintaining an IBM mainframe as a programming environment.
The only chance I see of anything working is having a database on the IBM side like Oracle or DB2 that is somehow linked to Sql-Server. I'm not sure if this will work and you are talking about a serious infusion of cash for a mainframe database if it does.
The only connection we have established from our Sql-Server to our MVS mainframe's VSAM files is by unloading information from either side into flat text files and sending it to the other enviornment with FTP. On the PC side, I am using Perl scripts (which I am currently converting to VB.net console applications) to do this . We use this to sync up the two environments nightly.