Preheat the oven to 325°F. Line a large baking sheet with parchment paper or a Silpat mat.
In a large bowl, stir together the sweetened condensed milk, egg white, vanilla extract,lemon juice and salt. Stir until combined. Add in the lemon zest and coconut. Mix well.
With a spoon, scoop up about 2 Tablespoons of the dough and place the dough onto the prepared baking sheet. Form the cookies into the shape of a bird nest. Press down the center with your thumb.
Bake cookies for 18 to 20 minutes, or until slightly golden brown. Remove from the oven and press your thumb down in the center of the nests again. Cool the cookies on the baking sheets for about 5 minutes or until they are firm and set. Remove with a spatula onto a cooling rack. Cool completely.
Place about a tablespoon of lemon curd in the center of each nest. Place 2 jelly beans in the center of the nest. Finish decorating the nests and enjoy!
Note-you can make these 2-3 days in advance. Store in an air tight container in the fridge. Let come to room temperature and then decorate with jelly beans.