Step 1In a large bowl, sift together the flour, baking powder and salt. Cut in the butter using a pastry cutter or fork until it is reduced to the size of small peas.
Step 2In a separate bowl, whisk together the egg and milk.
Step 3Make a well in the middle of the dry mixture and add the milk and egg, using a spatula to gently mix the ingredients until they come together to form a dough.
Step 4Use your hands to shape the dough into a rectangle approximately 8-inches long and 4-inches wide and 1/2-inch thick. Wrap the dough tightly in plastic wrap and refrigerate until well-chilled, at least 2 hours.
Step 5Heat the oven to 350 degrees, and line 2 to 3 baking sheets with parchment paper.
Step 6Remove the chilled dough to a floured surface and roll to a thickness of approximately 1/8-inch, maintaining the rectangular shape.
Step 7Spread a thin layer of jam over the entire rectangle. On the lower half, sprinkle over the coconut, nuts, and cinnamon sugar. Fold the top half of the dough over the bottom half to completely cover the filling. Lightly press the halves together.
Step 8Using a sharp knife, carefully cut the rectangle crosswise into 1/2-inch thick strips. Carefully twist each strip to form a spiral. Place the spirals on the prepared baking sheets, spacing them about an inch apart.
Step 9Bake the cookies until they are set and golden, about 12 minutes. Remove the cookies from the sheet to fresh parchment paper while they are still hot, as the jam will become very sticky as it cools. Once the cookies are cooled, sprinkle the cookies with powdered sugar.