Coachee is fine. It’s less common than mentee, but still common enough, and should certainly be understood.
If you want a longer-established word, then tutee would be another option, if you’re in a context where tutor would be a close enough synonym of coach.
Pupil and student are of course also options; but it sounds like you want the connection with coaching to be more explicit than these make it.
Google Ngrams surveys the options nicely:
(Pupil, student not included since they completely dwarf the other options. Showing only from 1950, since coachee was quite common in the C19th but with a completely unrelated meaning.)