Preheat oven to 350°. Place fillets in a greased 13x9-in. baking dish. Spread mayonnaise over fillets; sprinkle with jerk seasoning.
Bake until fish just begins to flake easily with a fork, 18-22 minutes. Meanwhile, for sauce, in a small saucepan, combine sour cream, cream of coconut, and lime zest and juice; cook and stir over medium-low heat until blended.
Drizzle fillets with sauce; sprinkle with coconut.
