I 'think' it the airbag is all one piece including the cover you mention.
Even if you could change the cover you'd have to remove the airbag itself from the wheel. Not difficult but if not done properly you could trigger an airbag fault which would need to be reset with VCDS.
Actually I'd say you can't change it, thinking about it that is the bit the airbag breaks through when it goes off so I'd say its def all one piece.