To fix your code you can simply change [Cov] to Cov.values, the first parameter of pd.DataFrame will become a multi-dimensional numpy array:
Cov = pd.read_csv("path/to/file.txt", sep='\t')
Frame=pd.DataFrame(Cov.values, columns = ["Sequence", "Start", "End", "Coverage"])
Frame.to_csv("path/to/file.txt", sep='\t')
But the smartest solution still is use pd.read_excel with header=None and names=columns_list.