Prep your pan and air fryer. Line an 8-inch square pan with parchment, leaving overhangs to lift out the cake. Preheat your air fryer to 325°F (165°C) if it has a preheat setting.

Make the sponge batter. In a mixing bowl, beat butter and sugar until pale and fluffy, about 2–3 minutes. Add eggs one at a time, beating well after each, then mix in vanilla.

Combine dry ingredients. In a separate bowl, whisk flour, baking powder, and salt. Add half to the butter mixture, then the milk, then the rest of the dry ingredients. Mix until just combined.

Air-fry the sponge. Spread batter evenly in the lined pan. Place in the air fryer and cook at 325°F (165°C) for 18–24 minutes, or until a toothpick comes out clean. Rotate the pan halfway if your air fryer has hot spots.

Cool and cut. Lift the cake out and cool completely on a rack. Trim edges if very dark. Cut into 12–16 squares. For a neat jam layer, slice each square horizontally into two thin layers.

Add the jam. Spread a thin layer of strawberry jam on the bottom half of each square, then top with the other half. Press gently so they hold together. Chill for 20–30 minutes to firm up.

Make the chocolate coating. In a small saucepan, whisk powdered sugar and cocoa. Add milk and butter, then warm over low heat until smooth. Stir in vanilla. You want a pourable glaze—add a splash more milk if it’s too thick.

Set up the dipping station. Pour the coconut into a wide, shallow bowl. Place a cooling rack over a tray to catch drips.

Dip and roll. Working one at a time, use two forks to dip each jam-filled sponge square in the warm chocolate coating. Let excess drip off, then roll in coconut, pressing lightly so it sticks. Place on the rack to set.

Let them firm up. Chill for 15–20 minutes, or leave at room temperature until the coating sets. The outside should feel slightly crisp, and the inside tender and jammy.