Both are really good for the skin and fur. I believe that coconut oil is lacking some of the omegas whereas the fish oil has all that they need.
I use some of both though. I've found that my dogs no longer have smelly breath and their body odor is down A LOT since using coconut oil. I just have them eat a little. Also, after baths, I rub a lil coconut oil between my hands and rub it all over them before brushing. THey both have AMAZING coats and smell lovely. The older dog had horribly skin problems and body odor, both of which are now completely gone.
I've read that coconut oil in the nape of the neck with dissuade fleas, but Im not sure how well that holds true.