At 40 yards, I would not worry about making headshots. 'Yotes are thin skinned and @ that range, a .22LR would penetrate the chest cavity and lead to a quick kill. If you've ever seen a coyote skull, the brain cavity is very small, providing a very small target and there is a larger percentage of the head that you could hit and lead only to a long and painful death. Even cat-eatin' coyotes deserve better. Huntin' 'yotes won't stand still long in a urban environment where they have little cover.
I must add tho........IMHO, cats running loose, domestic pets or feral, do more damage to general wildlife than coyotes. In that sense, coyotes are helpful predators.