To help cut through ganache when forming truffles, first dip scoop into hot water, then dry with a towel.
Bring cream to a boil in a small saucepan. Put chocolate into a food processor. With machine running, pour in cream; process until smooth. Transfer to a bowl. Whisk in Cointreau and zest. Cover with plastic wrap, pressing it directly onto surface. Refrigerate until firm, about 2 hours.
Using a small melon baller, scoop chocolate into 1-inch balls, immersing scoop completely, then rotating it; transfer balls to a rimmed baking sheet lined with parchment. Cover with plastic wrap, and refrigerate until firm, about 6 hours.
Fill a large bowl with coconut. Remove truffles from refrigerator. Roll each ball in your palms until completely smooth, then roll in coconut to coat, shaking off excess; transfer to a rimmed baking sheet lined with parchment paper. Refrigerate 30 minutes. Truffles can be stored in airtight containers in the refrigerator up to 1 month or in the freezer up to 3 months.