Preheat oven to 450°F Lightly grease a baking sheet.
Combine egg and coconut milk in a shallow dish and mix well.
Combine bread crumbs, flaked coconut and lime zest in another shallow dish. Dip fillets in egg mixture, then dredge in coconut mixture. Arrange fillets on prepared baking sheet. Bake for 15 minutes, or until fish flakes easily with a fork.
Meanwhile, whisk mayonnaise, mustard and lime juice in a small bowl. Serve alongside fish or spoon couple of tablespoons of sauce over fish.