I understand I can not use any soft bedding in my baby's cot but I am wondering can I use a fitted woolen mattress protector if I also have a fitted sheet over it?

Red Nose recommends that baby be placed on a mattress that is firm, clean, well-fitting & flat.
It is important that the mattress protector does not compromise the firmness of the mattress, not necessarily the fabric of the protector.
Some woolen mattress protector may compromise the firmness of the mattress, depending on its thickness.

A safe mattress is one that is the right size for the cot, is firm, clean and in good condition and is placed flat (not tilted or elevated).
A soft mattress or sleeping surface can increase the risk of sudden unexpected infant death if baby rolls over onto the tummy.
.....always make sure that the waterproof mattress protector is strong and a tight fit.
Never put soft bedding under the bottom sheet, such as a sheepskin, as this makes the sleeping surface too soft.
https://rednose.org.au/article/what-is-a-safe-mattress