Copa refers to these as “one of our mini-alliances.” You can earn CO points on all three.
I met some CM elite travelers, but did not see their membership cards. I wonder if it would be rude to ask …
Copa referred me to GOL for some quick trips CNF-GRU. Not sure if they have an official alliance. Gol is an AA partner, so earned a few AA points on that route. TAM also flies between these cities (CO points), but the Gol flights worked better for me.
The back of the in flight magazine on CM flights lists GOL as a partner, but the website has a direct link to Onepass, which doesn't have GOL as a partner.
It's actually fairly confusing. I guess they have code-share flights but not a true alliance?