Preheat the oven to 350°F. Line 2 baking sheets with parchment paper.
In a medium bowl, mix together the coconut and almond flours, cacao powder, baking soda, baking powder, and sea salt. Set aside.
In a large bowl, beat the butter and erythritol sweetener until fluffy, for about 3 minutes. Add the eggs, one at a time, and beat after each addition. Whisk in the vanilla extract and coconut milk.
Gradually add the dry mixture to the wet mixture and stir to combine well. Transfer the batter to a pastry bag fitted with a ½-inch round tip or a plastic food bag with the tip cut off.
Pipe about 20 (4-inch) logs of batter onto the baking trays. Bake the cakes for about 8 to 9 minutes. Let the cakes cool on the baking sheets for 1 minute. Transfer the cakes to a wire rack to cool completely.
Make the sandwiches:
Spread some whipped cream filling onto the flat side of one cake. Top with another cake, flat side down. Repeat with the remaining cakes and whipped cream.