Preheat your oven to 350°F (175°C). Line a baking sheet with parchment paper to prevent sticking.
In a mixing bowl, whisk together the all-purpose flour, grated lime zest, superfine sugar, and salt.
In another large mixing bowl, beat the unsalted butter and cream cheese together using your electric mixer until light and fluffy, about 2-3 minutes.
Add the vanilla extract and fresh lime juice to the butter and cream cheese mixture. Mix until well combined.
Gradually add the dry ingredient mixture to the wet ingredients. Mix until just combined.
Using your hands, roll the dough into small balls, about 1 inch in diameter. Place them on the prepared baking sheet.
Bake in the preheated oven for about 12-15 minutes, or until the edges are lightly golden.
Allow the snowballs to cool for a few minutes on the baking sheet. While they are still warm, roll them in a mixture of powdered sugar and shredded coconut.
For the best flavor, refrigerate the snowballs for at least 30 minutes before serving.