Whisk coconut milk, lime juice, soy sauce, honey, cumin, salt, and pepper in a bowl; add wings and marinate 30–60 minutes in fridge.
Preheat oven to 425°F (220°C) and line a baking sheet with foil; toss wings with oil and spread in a single layer.
Roast 25–30 minutes, turning once, until crisp and cooked through.
Blend cilantro with 2 tbsp lime juice and 3 tbsp plain Greek yogurt or sour cream to make lime crema; season to taste.
Toss wings with a little fresh cilantro, dollop crema on the side, and serve hot.