Heat oven 375. Line a cookie sheet with parchment paper. Pat shrimp dry with paper towels. In small bowl toss shrimp with cream of coconut and rum to coat.

Separate dough into 8 triangles, cut each in half lengthwise to make 16 triangles. Place 1 shrimp on shortest side of each triangle. Roll up starting at shortest side leaving tail sticking out of one side, rolling to opposite point. Place rolls point side down on cookie sheet.

In small bowl mix 2 Tbl of preserves with the orange peel. Microwave about 20 seconds or til melted. Brush over each roll, sprinkle with coconut.

Bake 15-18 minutes or til golden brown. In same small bowl heat the remaining 2 Tbl preserves. Spoon evenly over each roll. Cool 5 min; remove from pan. Serve warm