Preheat oven to 350 degrees. Line a large baking sheet with parchment paper or waxed paper; set aside.
In food processor, process nuts and sugar at medium speed until finely ground. Add coconut and process until well combined. Add egg whites and process again until mixture is evenly moistened.
Transfer dough to prepared baking sheet; shape mixture into 2 1/2 x 3-inch logs (each log should be about 1/2-inch thick), and space logs about 2 inches apart. Using the end of a wooden spoon or your finger, make a trench down the length of each log.
Bake for 30 minutes or until set and golden brown.
Meanwhile, in a small saucepan over low heat, melt the jam. Remove logs from the oven. While logs are still warm, spoon melted jam into the trench of each log; let stand at least 30 minutes or until the logs are cool and the jam is set.