Preheat the oven to 350°F. Line a baking sheet with parchment paper or use a non-stick baking sheet.
Place pumpkin puree, coconut milk, egg, and, coconut oil in a medium bowl. Stir to combine the wet ingredients.
Add flour and stir until well combined. Add water as needed to create a dough that is rollable but not too sticky.
With a rolling pin, roll out the dough to about ¼ to ½ inch thickness, according to your preference.
Using a cookie cutter, cut out the dog treats and place them on the baking sheet.
Bake for 25 to 30 minutes.
Transfer the baked treats to a wire rack to cool to room temperature.