Preheat oven to 375°
In a saucepan over medium-high heat, add the sugar and water and bring to a boil for about 4-5 minutes.
When all the sugar has dissolved, add the coconut, stir and lower the heat to medium-low. Simmer for 15 minutes.
Place the cooked coconut mixture in a fine-mesh strainer to drain. Save the drained syrup for another use.
Cool the mixture and add the egg yolks one at a time, mixing well between each one.
Add the cinnamon, sherry, and lime zest stirring well to combine.
Unfold the puff pastry and roll-out according to package directions. Cut into twenty-four squares, about 2 ½ inch squares each.
Put 2 heaping tablespoons of the coconut mixture in the center of 12 squares and top with the other 12 squares.
Seal the pastry with the tines of a fork.
Brush tops with beaten egg and sprinkle with coconut sugar.
Place on a parchment-lined baking sheet, 1 in apart.
Bake until puffed and golden brown, about 8 minutes.