Preheat the oven to 325 degrees. 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 in the lemon zest and coconut. Mix well.
Using a spoon, scoop about 2 tablespoons of the dough onto the prepared baking sheet. Form the cookies into the shape of a bird nest. Press down the center with your thumb to make an indentation.
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 sheet for about 5 minutes or until they are firm and set. Remove with a spatula and place on a cooling rack. Cool completely.
Place about a tablespoon of lemon curd in the center of each nest. Place 2 or 3 jelly beans in the center of each nest.