Spray a 9-inch square baking pan with cooking spray. Line pan with parchment paper, letting excess extend over sides of pan.

In the top of a double boiler, combine butter, cocoa, sugar, and salt. Cook over simmering water, stirring frequently, until butter is melted. Whisk in egg and egg yolk until well combined; cook, stirring occasionally, until thickened and an instant-read thermometer registers 160°F (71°C), about 10 minutes. Remove from heat; stir in cookie crumbs, coconut, walnuts, and vanilla. Press mixture into bottom of prepared pan; let cool in pan on a wire rack for 30 minutes.

Using a small offset spatula, spread Eggnog Custard Filling onto prepared crust in a smooth, even layer. Refrigerate for 30 minutes.

In the clean top of a double boiler, combine chocolate and oil. Cook over simmering water, stirring frequently, until chocolate is melted and mixture is smooth. Working quickly, pour chocolate mixture over chilled filling. Using a small offset spatula and tilting pan as needed, spread chocolate mixture into an even layer; several times to smooth chocolate mixture and release any air bubbles. Refrigerate for at least 1 hour or up to overnight.

Using excess parchment as handles, remove from pan; using a warm, dry, serrated knife, cut into bars. Serve at room temperature.