Preheat the oven to 450°F. Line a baking sheet with parchment paper. Pat the mahi mahi filets dry with paper towels and set aside.
Start with the mango salsa so the flavors have time to meld while you prepare the mahi mahi: dice the mango, avocado, tomato, and onion, then toss together with the lime juice, olive oil, and salt. Set aside.
Finely chop the macadamia nuts by hand, or pulse in a food processor until finely chopped.
In a shallow dish (like a pie plate), mix the chopped macadamia nuts, panko breadcrumbs, salt, and pepper. In a second shallow dish, whisk together the coconut milk and lime juice.
Dip each mahi mahi filet in the coconut milk mixture to coat both sides, then press into the macadamia-panko mixture, pressing firmly so the coating sticks.
Transfer the coated filets to the prepared baking sheet and bake for 10-15 minutes, or until the internal temperature reaches 135°F.
Serve topped with the mango salsa, alongside rice.