1. Make cake mix as directed on package, using cold water. Cool cake completely. Cut cake horizontally into 3 layers. Place bottom layer, cut side up, on serving plate.
2. In large bowl, beat milk, lime juice and lime peel with wire whisk until smooth and thickened. Fold in whipped topping.
3. Spread 1 cup lime mixture evenly over top of first layer of cake. Place second layer of cake carefully on bottom layer; spread evenly with 1 cup lime mixture. Top with remaining layer of cake.
4. Frost top and side of cake with remaining lime mixture. Sprinkle with coconut.