This phrase means "blow of mercy" in french, and is used to describe the deathblow intended to end the suffering of a mortally wounded victim.
It can also be used figuratively to refer to a finishing touch of any sort.
While the correct pronunciation is similar to "coo de grahce". It (in english) is usually pronounced as "coo de gra"...with the final "s" sound being left out.
The elven hero, upon seeing his former nemesis struggling for breath, performed a quick coup de grace, ending its suffering.
George had never had much luck with these matters, and
after all that'd happened, losing his wallet was the coup de grace that spurred him to tears.