First of all there are many configurations for multi-driver speakers and coaxial is just one of them and it's not necessarily the best. It's a complex topic, so let's unwrap it.

Speakers need many drivers because they move a lot of air. Unfortunately there is no way one driver can do that and at the same time reproduce highs accurately. A big cone is too heavy to follow a coil that changes direction that fast, so instead it vibrates chaotically. But it gets worse... Basically the speaker plays into open space and every driver has it's spatial character. I don't mean how you perceive it, but actual spatial character - where the driver sends the sound and where it doesn't. We call it directivity. Multi-driver speakers have severe problems with it - they simply make no sense and the response doesn't add up apart from one spot in front of them. Coaxials exist solely because of that. They're supposed to cover the fact that they're separate drivers. Take any other criteria and coaxials suck. I don't mean a particular model, but they are in general a challenge to engineer, because every single part of the woofer messes up the tweeter's response and vice versa. They have severe amplitude intermodulation that comes from the fact that tweeters waveguide (woofer's cone) is constantly moving. Few coaxials sound good outside of car audio. Most of them are weird. In hifi Kef got it right and that's about it. Generally the only way to make a coaxial work is 3-way and up. Two way coaxials are intended to work with subwoofers. So you have a complicated solution that comes with many compromises.

Headphones don't have that problem. There are coxial headphones. I don't remember which, but I don't think they are anything special (?). But let's start from the beginning...

First of all heapdhones are doing fine with one driver. Think about it this way: a speaker is a pump, a headphone is a compressor. A compressor makes high pressure with very little fluid. Headphone driver is big enough to make bass and small enough for highs because it can make that bass with very little displacement. It works by creating pressure, not flow.

There are headphones with many drivers but they're expensive and heavy and comfort is important. Any benefit in sound? I don't see much.

If you want to experience multi-way headphone then there are a couple worth mentioning: AKG K340 and1more tripple driver OE, maybe Meze Empyrean. There were some other, but completely unremarkable headphones from Technics and Universum for example. There is no polite way of putting it - they suck hard.

Axel Grell, who is a famous acoustics engineer, is currently working on a two-way headphone, so hopes are high for it, but nobody expects them to be on par with his single driver work like HD800, and HD800 has a ring driver, that has space for a tweeter inside. Despite that they desided to leave it open.