Preheat oven to 400ºF.
Wrap each cone tightly in aluminum foil, covering it completely and tucking any excess foil into the cone cavity. Spray the foil cones with the cooking spray. Set aside.
Lightly flour your work surface. Unfold the pastry sheet onto the work surface. Cut the pastry sheet to form 3 rectangles then cut each rectangle lengthwise into 4 strips, making 12 strips total.
Press the ends of 2 pastry strips together. Starting at the pointed end of the cone, wind the pastry strip around 1 cone, slightly overlapping the edges of the pastry (the strip will not reach the bottom of the cone). Spray the pastry cone with the cooking spray and sprinkle with the sanding sugar (optional). Place the pastry cone on its side, with the end of the strip facing down, onto a baking sheet lined with parchment paper. Repeat with the remaining pastry strips.
Bake the puff pastry cornucopias for 15 minutes, or until the pastries are golden brown. Let the pastries cool completely on the baking sheet on a wire rack. Carefully remove the foil cones.
Beat the coconut milk, pudding mix, pumpkin and cinnamon in a medium bowl with a whisk until the mixture is thickened.
In a stand mixer fitted with the whisk attachment, beat the heavy cream on high speed until soft peaks form. Fold the whipped cream into the pumpkin mixture then spoon or pipe the mixture into the pastry cones.
Place the pastries onto serving plates. Drizzle the pastries with the caramel and sprinkle with toasted coconut.