Varies by the region; IIRC, the Don cossacks didn't have lance pennons, but others did.
From Nafziger's "The Russian Army, 1800-1815:
Don Cossacks – red shafts, no penons
Black Sea Cossacks – no info, probably like Don Cossacks
Orenburg Cossacks – raspberry and white pennons
Orel Cossacks – black shafts, no pennons
Siberian Cossacks – black lances, pennons white top, bottom by regiment: 1st lt green, 2nd lt blue, 3rd yellow, 4th dk blue, 5th raspberry, 6th brown, 7th fawn, 8th red, 9th violet, 10th dk green
Tchougouiev Cossacks – no info
Bug Cossacks – pennons white over dark blue
Ukranian Cossacks: pennon crimson and white
Peter