Heat grill or grill pan to medium-high heat. Carefully pull back corn husks, leaving them attached at the base. Remove silk and discard. Re-cover corn with husks. Grill corn on medium-high heat for 20 minutes, rotating every 5 minutes. (Husks will char.)
In a small bowl, combine mayonnaise and jerk seasoning. Pull back husks and liberally spread mayonnaise mixture on grilled corn, about 2 tbsp per ear.
Scatter coconut on a large plate. Roll mayonnaise-coated corn in coconut. Serve warm with lime wedges.