Nobody ever claimed cold fusion energy was from nothing. If it exists, it would be from the same source as "hot" fusion, or fission for that matter. Namely the loss of mass in a nuclear reaction. E=MC2 and all that.
The thing about "cold fusion" was that, at least initially, no one was able to explain how the nuclei of the atoms were forced close enough together to fuse, against the electrostatic forces tending to keep them apart, without using the brute force technique of simply heating them up until the speed of collisions between the nuclui was enough to overcome the electrocstatic repulsion.