In a large mixing bowl combine the rolled oats, cocoa, and coconut. Set aside.
Combine the sugar, shortening, milk and salt in a medium saucepan.
Bring to a boil over a medium-high heat and boil 1 min, no longer. Remove from the heat and add vanilla. Then stir in the dry ingredients that you set aside earlier.
Stir well and quickly to combine everything. While the chocolate mixture is still hot, drop by tablespoon full onto parchment paper spread on a table. The mixture will be hot, so use two spoons, or a small cookie scoop. Be sure to work quickly before the mixture begins to cool and harden.
While the cookies are still hot, use the back of a spoon to create a nest indent and then press a few eggs into each. Allow to set completely and enjoy. Store in an airtight container. Makes about 3 dozen.