Once you defeat the first boss named Papu Papu, the level select path will have 2 options. Continue round or go down to a solo space. If you go down then you will get the option to recruit Coco. Confirm this and when you are picking any level you can press
and you will switch character to Coco.
Start any level as Coco and defeat 5 enemies with the spin attack (
). I just picked her for the next level and this unlocked without even trying for it.