Do you use the ALTERNATE RECORD KEY clause? If so, you must have a DD name for the alternate index path. The DD name for the alternate index will the be the VSAM base cluster DD name with a 1 appended (unless the DD name is 8 characters in which case the 1 replaces the 8th character).
I don't remember ever using a VSAM file in COBOL that had an alternate index defined on it without using the ALTERNATE RECORD KEY clause. I'm not sure this would even be allowed if the alternate index is in the UPGRADE set. Have you tried it? What results did you get?