Beat heavy cream, powdered sugar, and vanilla with an electric mixer on high speed until stiff peaks form. Combine orange segments and grapefruit segments; divide citrus mixture evenly among 4 (10-oz.) glasses. Drizzle each with 1 1/2 tsp. honey. Crumble 1 meringue cookie over fruit in each glass; top evenly with half of whipped cream. Sprinkle each with 1 1/2 Tbsp. coconut. Repeat layers once.