Preheat your oven to 375°F (190°C).

Prepare the cream cheese filling by beating together the cream cheese, sugar, egg, vanilla extract, and shredded coconut until smooth.

On a clean surface, slice the King Hawaiian bread horizontally into three even layers.

Spread an even layer of the cream cheese filling on the bottom layer of the bread, then place the second layer on top and repeat the process until all layers are filled.

Place the final layer of bread on top and brush the entire surface with the egg wash.

Transfer the layered Danish to a baking sheet lined with parchment paper.

Bake in the preheated oven for 25-30 minutes, or until golden brown.

Let the Danish cool for a few minutes before dusting with powdered sugar and serving.