HEAT oven to 450ºF. Spray a baking sheet with no-stick cooking spray.
COMBINE flour, baking powder, salt and sugar in large bowl. Cut in shortening with pastry blender or fork until mixture resembles coarse crumbs. Make a well in the center of the dry ingrdients; add milk all at once. Stir with a fork until dough clings together.
TURN the dough onto a lightly floured surface; knead 10 to 12 strokes. Roll dough out to 15 x 8-inch rectangle.
SPREAD jam over dough. Sprinkle with 1/4 cup coconut. Fold dough in half to make a 15 x 4 inch rectangle. Cut crosswise into 1-inch strips. Holding each strip at both ends, twist twice. Place on prepared baking sheet.
BAKE 10 to 12 minutes or until golden brown. Remove to wire rack to cool.