PREP: Preheat oven to 400 degrees with a rack in the upper third. Line a baking sheet with parchment paper.
COOK SQUASH/TOAST PECANS: Place squash in a microwave safe bowl, cover with water, and top bowl with a snug-fitting plate. Microwave on high 3 minutes. Drain and set aside to cool. (Alternately, simmer squash covered in water in a small pan on the stovetop for 3-4 minutes, drain, and cool.) The squash should be just barely tender, not terribly done, or it will come apart when mixing the dough. In the meanwhile, toast the pecans in a small, heavy skillet over medium-low heat, stirring often and watching carefully, for 8-10 minutes or until toasted. Set aside to cool.
MIX DRY INGREDIENTS/CUT IN BUTTER: In the bowl of a food processor fitted with a steel blade (or in a large bowl using a pastry cutter or your fingers), measure in the flour, sugar, baking powder, and salt. Pulse or stir a few times to mix. Add the pieces of butter and pulse (or cut in/rub in) carefully 6-8 times or until you have pea-sized and smaller pieces of butter.
TURN OUT FLOUR MIXTURE INTO A LARGE BOWL and stir in the cooled squash and toasted pecans. Whisk together the sour cream or yogurt and milk in a measuring cup and pour into the bowl. Using a table fork, stir until all the dry bits are incorporated, but the dough is still shaggy. This may take a few minutes. If you just can't get the dough to come together, add a teaspoon or two additional milk and keep mixing. Knead a few times until the dough barely holds together, then turn it out onto a lightly floured counter or board. The dough shouldn’t be uniform, smooth, or neat. Do not overwork dough.
PAT DOUGH with floured hands into a 1-inch-thick rectangle approximately 6"x10". Brush with a little of the egg mixture (you'll have quite a bit leftover to make a little scrambled eggs) and sprinkle evenly with a bit of granulated sugar (maybe two teaspoons) and then with the 1/4 cup coconut. Pat sugar and coconut gently down with your fingertips. Using a bench scraper or a knife, cut into first 2, then 4, then 8 (or then 16 for small scones) rectangles. (See Cook's Notes for info on even smaller, bite-sized scones.) Place on prepared sheet pan as far apart as possible.If freezing, wrap the tray securely in foil and freeze at this point for up to a month. Use the following direction for baking from frozen -- don't thaw--and give them an extra minute or two in the oven. BAKE scones in preheated oven on lined tray until lightly golden on top and a crispy light-medium brown on the bottom, 17-19 minutes. Remove to a rack and cool for a minute or two before serving warm. Scones will keep for a day or two, well-covered but are best when fresh. To reheat, split in half lengthwise, spread lightly with butter, and grill until toasty and hot in a stove top grill pan or skillet. Freeze extras in a Ziplock freezer bag for 2 months.Unsure about whether your scone are done? Break one open; they should be tender and moist but not wet or doughy.