Preheat the oven to 375 degrees F (190 degrees C).
Mix together cake mix, eggs, oil, and bourbon in a large bowl. Roll the dough into balls the size of walnuts. Place 2 inches apart on ungreased baking sheets.
Bake in the preheated oven until the tops start to crack, about 8 minutes. Cool in the pans for 10 minutes before removing to cool completely on a wire rack.
In a large bowl combine cream cheese, butter, evaporated milk, vanilla, and coconut. Add the confectioners' sugar 1 cup at a time, mixing well with each addition. If consistency is too stiff, add more milk.
Place the chopped pecans in a bowl. Spread a generous amount of icing on the bottom of a cookie, sandwich it with another cookie, pressing firmly so that the icing comes all the way out to the edge. Roll the edges of the sandwich cookies in the chopped pecans. Repeat with the remaining cookies.
Cook's Note: You will likely have extra icing after building your sandwich cookies. It will keep it for up to 2 weeks covered tightly in the refrigerator