Preheat the oven at 350ºF.
Add walnuts and cinnamon to a medium bowl and mix, set aside.
Unroll both tubes of phyllo dough on a clean surface, cover loosely with a stretch film and a damp kitchen towel so the dough doesn't dry out.
Melt the coconut oil in a small pot or microwave but do not get too hot.
Use a pastry brush to brush the coconut oil on the bottom and sides of one large or two small deep rectangular baking dishes.
Align the dough with the length of the pan. Feel free to cut off any excess at the end, there is usually a couple of extra inches that can be removed.
Add two sheets of phyllo dough to the pan brushed with the coconut oil and use the pastry brush to brush the melted coconut oil over the entire surface of the dough, repeat until you have a total of 8 layered sheets.
Evenly sprinkle the top of the eighth oiled sheet with 2 to 3 Tbs of the nut mixture. Place another two leaves on top and brush with coconut oil then add nuts again.
Repeat the layers of dough, coconut oil, and walnuts until you only have 8 sheets left, adding those two at a time and just brushing with coconut oil. Using a really sharp knife, cut 4 rows across the pan and then cut diagonally from the top down and across the pan for a traditional Baklava preparation (you can also cut into squares).
Bake for 50 minutes until the baklava is golden brown and crispy on top.
With 30 minutes left to finish baking, begin making the syrup by adding the water and sugar to a small pot and bring to a boil over medium-high heat until the sugar dissolves.
Add the vanilla and honey and simmer for 20 minutes, stirring occasionally.
Remove the baklava from the oven and immediately pour the sauce over the entire pan, let sit and chill overnight.
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