Heat oven to 190C/fan 170C/gas 5. Beat butter, sugar, egg and vanilla together with a pinch of salt until smooth. Fold in the flour and coconut to form a dough.
On a floured surface, shape the dough into a round, then roll to the thickness of a coin. Cut into rounds using a 6cm cutter. Lift onto baking sheets, then bake for 14 mins until light golden. Cool for a few mins, then transfer to a cooling rack.
To sandwich the biscuits, lay half out on a baking sheet, under-side up. Put ½ tsp jam onto each one, top with a piece of marshmallow, then bake for 2½ mins or until just melted. Remove from oven, then quickly top with the other biscuits, pressing down so that the marshmallow sticks them together and just oozes out. Cool for 10 mins. Put the coconut and remaining jam onto plates, dip the edges in the jam, then roll in the coconut. Will keep in an airtight tin for up to 3 days.
Uncooked dough can be frozen. Stamp out half of the dough into rounds, freeze flat, then stack in a freezer container. To cook from frozen, add 2 mins to the time.