Coset conformal blocks and N=2 gauge theories

It was recently suggested that the su(N)_k+su(N)_p/su(N)_{k+p} coset conformal field theories should be related to N=2 SU(N) gauge theories on R^4/Z_p. In this paper we study various aspects of this proposal. We perform explicit checks of the relation for (N,p)=(2,4), where the symmetry algebra of the coset is the so called S_3 parafermion algebra. Even though the symmetry algebra of the coset is unknown for generic (N,p) models, we manage to perform non-trivial checks in the general case by using knowledge of the Kac determinant of the coset CFT. We also find evidence that the conformal blocks of the (N,p) model should factorise into a certain product of p (N,1) conformal blocks. Precisely this structure is present in the instanton partition function on R^4/Z_p.