Keep the oven heated to 325°F (170°C). Take a rectangle-shaped baking dish that is approximately ⅓ the size of the tray used for the dough. Grease with butter slightly.
In a medium bowl, stir together finely chopped walnuts and cinnamon. In another bowl, mix egg yolks, coconut milk, melted butter, and 2 tbsp. erythritol.
Place 1 third of dough at the bottom of the baking dish. Top it with 1 third of the egg yolk mixture. Top with ½ walnut mixture.
Top the walnut mixture with another layer of dough (I had to cut mine in halves). Again, top with 1 third of egg yolk mixture and the rest of walnut mixture. In the end, top with the last layer of dough and finish brushing it with the remainder of the egg yolk mixture.
Cut the unbaked baklava into wide strips, then cut diagonally, to form parallelogram shapes.
Bake for 40 minutes. In the meantime, prepare the syrup.