Gradually whisk in coconut milk and pineapple puree. Strain into bowl. Mix in rum. Cool and set aside. Cut out 2 6-in. rounds from each sheet.
Transfer rounds to baking sheets and pierce with fork.
Whisk confectioners sugar with remaining yolk in bowl. Brush over dough. Bake at 325F until golden, about 15 minutes. Cook pineapple wedges in large, nonstick skillet until golden brown, about 1 minute per side. Arrange fruit atop pastry to cover completely.