Penitentiary Branch Trail makes a loop with Jacks River and Hemp Top. I have done it as an overnight. I can't recall the distance, but I believe it would be in the range that you mentioned. Counterclockwise from Dally Gap would be easier (i.e. the steepest part being Penitentiary Branch would be downhill), but neither direction would be too difficult, especially going light and fast.
As Bill mentioned, the Cohutta is a challenge in winter because both the Conasauga and the Jacks River trails cross their respective namesakes about forty times each. In summer, at normal water levels, these crossings vary from boot top depth to mid thigh depth. In winter I would expect the water to be a little higher, and after a heavy or sustained rain, the water level will DEFINITELY rise, sometimes dangerously high, so be aware that you could get stranded on one side or the other if inclement weather strikes. I have covered all of the trails in the Cohutta at least once, but I have only made the river crossings on one cold weather trip in March or February. The weather that day was warm, so we were able to hike in shorts and make the crossings during the warmest part of the day, but it was still pretty frigid for this southerner. Personally, I wouldn't plan on hiking either of these two trails in winter without some extra layers stored in a dry-bag (those rocks are are super slick, so going in is always a possibility, you know), but that's just me.
The other trails in the wilderness don't cross large streams for the most part, but a lot of your loop options will incorporate the two river trails.
Water is scarce on the ridge trails (Rough Ridge, East Cowpen, Hemp Top, etc.) but if you are daytripping with a camelback you should be able to work around this.