Unlikely to be colonial. The name coconut comes from the bits of wood on the hands and knees. They may have originally been bits of coconut, but the dance itself (apart from the unusual costumes) has similarities to other kinds of English dance - eg. the clogs.

The costume was probably intended to look exotic/foreign. I wouldn't be totally surprised if there was an influence from music halls in there somewhere.

The dancers themselves say there may/may not be a Cornish origin in there somewhere, but no one really knows. I also discount the Moorish Pirate and Pagan stories.