The cases recommended by Apple staff are likely to be the type of cases meant to protect against damage from impact, and exposure to liquid. Although there are third-party cooling cases that exist for older models of the iPad, there are none that I am aware of for the iPad Air series of iPad. Even if such cases are manufactured for the iPad, they are not likely going to be able to combat the negative effects of using your iPad in direct sunlight for prolonged periods of time. The iPad is designed to operate under temperatures ranging from 32 - 95F (0-35C). Going above or below those ranges can adversely affect the immediate or long term performance of your iPad.
The reason your iPad gave you the warning message in question is because iOS has a built-in safeguard to automatically cease the current task, and display a warning once the device has exceeded the temperature range specified above. Your best bet is to avoid using your iPad in direct sunlight, or reduce the amount of time spent using your iPad in direct sunlight. For more information on this topic, please refer to the Apple Support article on keeping your device within acceptable operating temperatures
Keeping iPhone, iPad, and iPod touch within acceptable operating temperatures - Apple Support
Best of luck.
