Maybe it's because I don't keep up with COBOL, but I am not sure why you're convinced you have to abandon it. I realize it's not the "in" thing, but if you already have a large code base I'd think at least twice before switching to another language. If it's a lack of developers, I don't think you're going to run out that soon.
That said, googling Eclipse & OpenVMS gave this link:
http://www.sdtimes.com/SearchResult/32973
So it looks like you can still get Eclipse for OpenVMS from eCube. If I'm reading that article correctly, HP seems to want you to go the NetBeans directions. Personally, I'm still using Emacs (and not currently doing any Java), so won't make a recommendation; I just wanted to point out that there are other ways to develop Java than Eclipse.
I didn't find Java for VMS on Sun's site (someone feel free to correct me if you find it), but it looks like you can get the JDK from HP/Compaq at:
http://www.compaq.com/java/download/ovms/1.5.0/index.html
Edit: I meant, but forgot to say: Assuming you're using a JVM on the VMS side, you should be able to development with Eclipse on another platform, and copy the byte code to the Alphas.