If the Colecovision really has RF output (screw-on coaxial cable and not the push-on RCA plug for composite video which is usually color-coded yellow), the signal is probably like an NTSC channel 3 or 4 signal from an antenna or VCR. It was intended to be connected to a TV that has only an antenna input. There are cheap RF demodulators that were intended to connect such devices to a composite-video input (yellow RCA jack), but I've never seen one with an HDMI output.
If your projector has a composite-video input, I'd get one of those RF demodulators.
If you have only an HDMI input, you need an NTSC/ATSC tuner that has an HDMI output and can convert an analog NTSC broadcast signal to digital for the HDMI output. I actually have such a device; it's a Sony HD DVR that cost several hundred dollars, seven years ago.