No, do not use coconut oil. He will lick it off and ingestion may cause pancreatitis. Not only that but it will be extremely messy and everything will stick to him. Not a good plan.
He is scratching for a reason and rarely will they scratch so much from dry skin to make sores like that on their skin. If you are not treating him EVERY month for fleas then I would be doing that. It looks and sounds like a flea allergy. Even if you are not seeing fleas, I suspect they are there. Fleas usually will bite ferrets but not stay on them too long so you may not find them. Treating for fleas is easy and inexpensive so I suggest you try this plan. It is not going to hurt him and it may very well help. You can use Advantage II for small cats.
https://www.1800petmeds.com/education/ferret-flea-control.htmDon't forget to treat his environment for fleas too!
So, could it be dry skin.....sure, but I really doubt it. Like I said above it is really rare for the skin to be so dry that he would scratch that much unless you were feeding a very poor diet (which I don't think is the case) . His coat looks soft and shiny from the photo. So, be sure you are feeding a good diet (like Mazuri, Marshalls or Oxbow). And you can try this supplement for his coat if you want.
https://www.petsupplies.com/item/8-in-1-ferretone-skin-and-coat-supplement/650101/For the current sore - you can treat it with this. Just use a very thin layer 2-3 times per day until healed.
Hope this helps. Best wishes.