Preheat oven to 400ºF. In order to make the palmier cookies, lay the puff pastry sheet out on a piece of parchment paper and roll it out flat, sprinkling cinnamon sugar over it evenly.
Fold two opposite ends of the pastry sheet toward the middle, 1/4 of the way in. Fold each side in again, with the ends butted up against each other. Then fold the puff pastry over one more time, creating a rolled stack with 6 layers.
Using a sharp knife, cut the roll into 4 equal sections. Then cut each section into 5 thin pieces.
Move the parchment paper over to a baking sheet. Gently lay the rolled pieces flat on the parchment paper, 3 inches apart. Bake for 15–20 minutes until golden brown. If you need to toast the nuts, now is a good time to do that, too.
Let the palmier cookies cool. When cooled, break 3/4 of the total amount of cookies into smaller pieces and place them in an oven-safe baking dish. Sprinkle in the nuts, raisins, and optional coconut.
In a medium saucepan over medium-high heat, stir the milk and sugar together until the sugar is dissolved. Pour the milk over the cookie layers in the baking dish. Add the last 1/4 of the cookies to the top in order to create a crunchy topping.
Spread the whipping cream over the top layer. Place the dish back into the oven under the broiler for 10 minutes or until the dish is gently bubbling at the edges.
Serve the om ali hot with some extra nuts on the top and a glass of cold milk!