I just watched Alton Brown and he was eating some coconut pies. He hinted about the ingredients and I think I may have to try it.
Basically, roll out a piece of pastry dough, say 8"x10" rectangular. Into that was placed a coconut mix. this was one of his road food things so he wasn't cooking.
He figures along with the coconut(quite a bit) some almond extract, and sweetened condensed milk was added making a thick mixture. It was piled onto the dough which was then folded over and sealed on itself then baked.
I think a bit of cinnamon would work well in with it too.