In a large, wide saucepan, combine the coconut milk, brown sugar, granulated sugar, salt and baking soda. Bring to a simmer over medium heat, stirring until the sugar dissolves.Reduce the heat to medium-low and simmer, stirring often, for 50-60 minutes until reduced to about 1 1/4 cups and thick, glossy and caramel colored. Stir more often toward the end so it doesn't scorch.
Remove from the heat and stir in the vanilla. Transfer to a heatproof jar and let it cool completely. It thickens into a spreadable caramel as it cools.
In a large bowl, beat the butter and powdered sugar for 2 minutes until fluffy. Beat in the egg yolks, vanilla and lemon zest until smooth.
Whisk the cornstarch, flour, baking powder and salt in a separate bowl, then add to the butter mixture and mix on low until a soft dough forms. Flatten into a disc, wrap tightly and chill for 30 minutes.
Preheat the oven to 350°F and line two baking sheets with parchment paper. Roll the dough between two sheets of parchment to 1/4 inch thick, cut out 2-inch rounds and place them 1 inch apart, rerolling the scraps.Bake for 10-12 minutes until set with bottoms just barely golden, keeping the tops pale. Cool on the sheets for 5 minutes since they are delicate, then transfer to a wire rack to cool completely.
Spread about 1 tablespoon of the dulce de leche onto the flat side of half the cookies. Top with the remaining cookies and press gently so the filling reaches the edges.
Roll the edges of each sandwich in the shredded coconut so it sticks to the caramel. Dust the tops with powdered sugar and serve.