As far as "cooking and destroying whey" Ive read you can denature the whey at approx 180*F. But for mixing coffee I would go with Instant coffee. You dont have to water it down and a tablespoon or two mixed with your shake will make it taste really good.
I've actually have been adding coffee ( instant ) to my vinilla whey protein shakes for about a year . I've been using Starbucks VIA Italian roast. It's a great pick me up in the morning before I go to work. I've just recently got Taster's Coice in the individual packets . It takes a little longer to disolve but they're pretty good.