Coal is found in caves, you actually have to mine it. I have found it a few times in random locations when destroying dumpsters or other random things, but your best bet is to find caves. If you look on the walls of the caves you will see odd looking rocks with black chunks sticking out of them, those are coal blocks. Destroy them and come coal will drop for you to use. I have created a resource gathering guide in the Fortnite Beginners guide that will go over some of this stuff in better detail.
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