Heat the oven to 200°C/180°C fan/gas 6. Grease a 45cm x 35cm sheet of baking paper and lay it on a work surface. Sprinkle half the desiccated coconut evenly over the paper.
Sift the flour into a large bowl and stir in the sugars, suet and a pinch of salt. Add the coconut milk with the whole milk and mix with a metal spoon or palette knife to form a firm dough.
Tip onto a lightly floured surface and gently knead with your hands for 1-2 minutes, then roll out with a rolling pin to form a rectangle about 40cmx30cm. Transfer to the coconut-sprinkled baking paper, then spread with the jam. Sprinkle over the remaining desiccated coconut.
Roll up the pastry tightly from the short end. Roll the paper tightly around the dough, then wrap in a double layer of foil.
Set a rack inside a large roasting tin and put the foil-wrapped roll onto it. Pour freshly boiled water into the tin, making sure the water doesn’t touch the foil.
Bake for 1 hour 10 minutes or until a skewer comes out with no sticky dough on it, just the jam. Serve sliced, with custard.