I can't speak as to the veracity of the bombing of Coventry, but I can assure you that the idea of 'letting something happen to protect ULTRA' is indeed true, and happened multiple times during the course of the war. I'll settle for the example of Crete, again, since I already touched upon it recently:

When I blatantly parasited off of k1990's ULTRA/Enigma answer yesterday, I pointed out that Crete, despite to that date having the most immediate intercepts ULTRA had ever conducted, still ended in Allied defeat. One reason given for this by certain English-speaking scholars covering the battle, such as Beevor, is that the British government stressed the protection of 'Our most Secret Sources' - a euphemism for ULTRA.

Freyberg was essentially told 'do not react to information unless you believe the reaction will be decisive.' Churchill's biggest fear was that the Germans would jump into a DZ that was being defended by scratch forces hurled there at the last moment, which would fail to hold back the tide, but reveal to the Germans that their Operational Planning had been leaked. In hindsight, this was poor advice, as the German landing operations came under intense fire anyways, and even a small amount of men in the right places could've held back Paratroopers many times their numbers, but I digress...

Freyberg's agonizing decision to let certain DZs go unguarded despite foreknowledge of them, all in the name of 'protecting our most Secret Sources' is quite literally referred to as 'pulling a Coventry' in jargon. So, like I said, while I have little to no knowledge on Coventry in specific, the idea of letting events happen rather than betray ULTRA is not unfounded or untrue.