Line a baking sheet with parchment paper.
In a medium bowl, mix shredded coconut, sweetened condensed milk, and vanilla until well combined.
Scoop about 1 tablespoon of mixture, shape into a small rectangle, and place on the baking sheet.
Press one almond on top of each coconut piece. Freeze for about 30 minutes until firm.
In a microwave-safe bowl, melt chocolate chips with shortening in 20-second intervals, stirring until smooth.
Dip each coconut-almond bar into the melted chocolate, coating completely. Place back on the baking sheet.
Chill until chocolate is set, about 15–20 minutes.