We have considered this in the past, but it will have a negative impact on the UX. youtube-nocookie.com doesn’t link viewing activity to your YouTube account, so things like viewing history, recommendations, etc. will stop working.
Note that our YouTube onebox implementation only loads youtube iframe after the user clicks on the thumbnail, so cookies will not be set unless the user interacts with the embed.
That said, adding support for youtube-nocookie.com behind a site setting (or maybe… via a theme component - I think it should be possible 
) would likely be welcome.