Whisk the egg in a medium saucepan until it's well beaten. Add the coconut milk, tapioca, and vanilla stevia and whisk to combine. Let it rest for 5 minutes.
Place it over medium heat and bring it to a rolling boil, stirring frequently. Remove from the heat and stir in vanilla and coconut. Transfer the tapioca to a covered dish and cool until thickened, about 15 minutes, or store in the fridge to chill.