This paper proposes the design of polar and convolutional coset codes for the unequal message protection (UMP) in the short blocklength regime, to overcome the rate loss introduced by preamble-based solutions. After providing conditions to ensure message class disjointness, a two-step decoding architecture is proposed: it first identifies the message class via a likelihood ratio test--computable exactly for convolutional codes and approximated for polar codes--and subsequently performs maximum (or near) likelihood decoding among the codewords of the chosen message class. Numerical results show that our construction closely tracks finite-length benchmarks. Specifically, the analyzed CRC-aided polar codes perform comparable to existing polar code approaches, without requiring specific code design, while offering a robust and spectrally efficient solution for UMP scenarios.