First edit
Since $b\in aH$, if and only if $aH=bH$:
Union[Sort[#, Less] &/@ Table[Table[
PermutationProduct[e, i], {i, GroupElements[subgroup]}], {e,
GroupElements[group]}]]

The representative elements are respectively:
First /@ %
{Cycles[{}],Cycles[{{1,3}}],Cycles[{{3,6}}],Cycles[{{3,7}}]}
Ugly, but work.
Second edit (The efficiency version)
leftcosets[{}, r_] := r
leftcosets[remaineles_, r_ : {}] :=
Module[{representative = First[remaineles], coset},
leftcosets[Complement[remaineles,
coset = Table[PermutationProduct[representative, i], {i,
GroupElements[subgroup]}]], Append[r, coset]]]
It very quick. I'll use a larger group as an example:
group = PermutationGroup[{Cycles[{{1, 2, 7, 10, 5, 8}, {3, 4}, {6,
9}}], Cycles[{{1, 6}, {2, 4, 8, 7, 10, 9}, {3, 5}}]}];
subgroup = GroupStabilizer[group, {3}];
Performance comparsion
AbsoluteTiming[
result1 = Gather[GroupElements[group],
GroupElementQ[subgroup,
PermutationProduct[InversePermutation[#], #2]] &];]
{17.0175, Null} ← cvgmt's method
AbsoluteTiming[result2 = leftcosets[GroupElements[group]];]
{0.133693, Null} ← my method
Equal to inspection
SortBy[Sort /@ result1, First] === SortBy[Sort /@ result2, First]
True
Third edit (just get the representative element of left cosets)
Union[InversePermutation[RightCosetRepresentative[subgroup,#]]&/@GroupElements[group]]
{Cycles[{}],Cycles[{{1,3}}],Cycles[{{3,6}}],Cycles[{{3,6,7}}]}