A collodion bag is a membrane used to filter or concentrate substances, often proteins, using pressure. It usually takes the form of a small finger shaped receptacle hooked up to a positive pressure pump. The bag has a characteristic that allows small particles, like water or unbound ions, to flow out while retaining larger particles in the bag.
References
Further reading Modern Techniques in Cytopathology Can't Live Without it: The Story of Hemoglobin in Sickness and in Health Colloidion bag - Google Search