They are no direct trains. You can board Goa express from Madgaon to Miraj and Kolhapur is 48km from there but reaches Miraj at 2240 night and difficult to get buses to Kolhapur.
Alternate option go to Panjim bus stand board MSRTC according to timings in Redbus or can opt for private buses with less fare. As they travel to Mumbai the fare is high for evening and night buses.Check in redbus as per ur budget.