Preheat oven to 350°F. Spread walnuts in an even layer in a baking tray. Bake for 8-10 minutes until fragrant and golden in color. Cool to room temperature.
Place cooled walnuts in a food processor fitted with blade attachment. Add cinnamon and salt. Pulse 10-15 times until walnuts are coarsely ground. Toss with coconut. Set aside. Meanwhile, make honey syrup.
Orange Honey Syrup: In a heavy bottomed sauce pot, combine sugar, honey, water, and orange peel. Bring to a boil. Cook for 3-5 minutes until sugar has dissolved. Remove from heat and allow to cool.
Cut and trim phyllo dough to fit baking dish (or casserole dish). Keep phyllo dough covered with damp kitchen towel during assembly process.
Grease baking dish with melted butter. Add a sheet of phyllo dough. Brush dough with melted butter. Repeat this until you have used 7 sheets of phyllo.
Spread 1 cup of nut filling over phyllo dough. Add a sheet of phyllo and brush with melted butter. Repeat this until you have used 5 sheets of phyllo. Spread another cup of nut filling. Repeat adding 5 layers of phyllo.
Repeat adding 1 cup of nut filling followed with 5 layers of phyllo until you run out of nut filling. Use 7 sheets of phyllo the final top layer of dough.
Use a sharp knife to cut the baklava into diamond pattern or square shapes. Bake for 50-55 minutes in preheated oven until baklava is golden brown. Immediately pour honey orange syrup over baklava. You should hear a sizzling sound.
Allow baklava to sit out uncovered at room temperature.