In a dry, large deep heavy skillet cook the sugar over moderately high heat, stirring constantly with a heat proof, rubber spatula, until the sugar is melted and turns a deep golden caramel, remove the skillet from the heat, and into the side of the skillet carefully pour in the coconut milk.

Return the pot to the heat and, cook the mixture over moderate heat, stirring, until the caramel is thickened, about 5 minutes. Remove from the heat, add the butter, rum and vanilla. Stir the mixture until the butter is melted. Stir in the shredded coconut.

Line a baking sheet with parchment paper. Place as many pretzels as you can on the baking sheet, I was able to fit about 55. Place about a teaspoon or two of the coconut caramel mixture onto each pretzel and then sandwich together with another pretzel. Place the pan in the freezer for 15 minutes.

Meanwhile, melt the chocolate over a double broiler until smooth (or use the microwave, stirring in 30 second intervals). Use a fork to dip each pretzel into the chocolate, letting the excess shake off. Place back on the parchment lined baking sheet. Repeat with the remaining pretzels. Place in the freezer until set, about 10 minutes. Drizzle on more melted chocolate, if desired, and then place back on the parchment lined baking sheet. Sprinkle the tops with sea salt.

Refrigerate for 30-45 minutes to set. Store in the fridge or in a cool place.