How do I prove cold wallet reserves? For audit purposes I am trying to prove cold wallets reserves, is it possible to send a message with a USDT transaction or publicly 'label' a wallet?
You wouldn't need to do something specific for USDT.

Your best bet would be to sign a message proving ownership of each address you hold USDT in. Once you prove you control the addresses, you can prove that you control the USDT balance at any given block height for those addresses using the signed messages and a node that can calculate the balances.