As a heads-up, it's not just the Cougar.
I had a nice chat with the manager of my local Halford's last year - it turns out he's a big fan of Tiger - and it seems that unless a particular car was extremely mass-produced, they will not stock parts for it if it is more than 10 years old. So you can buy air filters for old Zetec Mondeos, but if you want one for a turn-of-the-century ST24/200 or ST220, you're out of luck.
He wasn't able to confirm whether this was corporate policy, but a look at their shelves (and those stupid flip lookup guides) seems to confirm this. And god help you if you drive something French from before about 2005. It's just not worth their time, though they will order parts in if you ask them.
But then you question where they got the parts from themselves? They're not OEM, so... It turns out that all they do is scour the local motor factors, add a markup, and then sell it to you. I've got a source for all filters in MK that I now use directly.