Using an electric mixer, beat the egg yolks and 1 cup sugar until thick and pale yellow, about 5 minutes. On low speed, mix in the cocoa powder and salt.
In a medium saucepan, bring the milk and cream to a simmer over medium heat. Gradually whisk 1 cup hot milk into the cocoa mixture, then whisk the mixture into the hot milk in the saucepan. Cook, whisking constantly, until thick and smooth, 3 to 4 minutes. Remove from the heat and whisk in the chocolate until melted.
Line a 9-inch square baking dish with plastic wrap, allowing a 4-inch overhang. In a small bowl, whisk together 1 cup water, the Grand Marnier and remaining 3 tablespoons sugar. Dip about 15 cookies into the mixture and arrange in a single layer, slightly overlapping, in the baking dish.
Spread one-third of the cocoa mixture on the cookie layer; sprinkle with 1/2 cup coconut and top with a layer of dipped cookies. Repeat twice.
Fold the plastic wrap over the cake; refrigerate for at least 3 hours or overnight. Invert onto a serving platter and sprinkle with cocoa powder; slice with a serrated knife.