Combine the first seven ingredients in a bowl. Season with salt and black pepper.
Preheat the oven to 220°C.
Place the puff pastry in a 30 cm circle baking tray lined with parchment paper, crimp the edges of the pastry to fit.
Spread evenly the baby shrimp and 100 g of Cheddar cheese on the dough’s base, then pour the coconut mixture to fill the pie
Sprinkle the rest of the shredded Cheddar cheese on top for browning.
Bake for about 40 to 45 minutes on 200°C until the batter is fully cooked, the puff pastry is golden, and the pie is golden brown on the top.
Remove from oven and allow to cool.
Toss the rocket leaves in a bowl with lemon juice and olive oil. Season with salt and black pepper.
Serve hot, warm, or cold topped with fresh rocket salad.