This might give you what you're looking for, but I'm not sure!

ls *.fasta | sed 's/.*_//g' | sed 's/.fasta//g' | awk '($1>500)' | while read line ; do cat *_${line}.fasta >> cov_above_500.fasta ; done

or if you want to be more specific

 ls Contig_*_cov_*.fasta | sed 's/.*_//g' | sed 's/.fasta//g' | awk '($1>500)' | while read line ; do cat Contig_*_cov_${line}.fasta >> cov_above_500.fasta ; done

So, basically it removes everything (.*) before the second number, because there's an underline before the coverage value, and not after it, you can use it at a marker, and delete the _ and anything before it, then delete anything after the number, which is ".fasta", then only select those values that are above 500, and loop over them, and concatenate the corresponding files. When mapping the numbers back to the file names, you need to make sure to place *_ before the number, and .fasta after the number (as in the commands) otherwise you would also pick 6005 and 5600 when searching for 600.
If you have two contigs with 600 as coverage, both would be selected which is fine I guess.