So, the witch in the group made a successful slumber hex, and the last big bad (and still quite healthy) monster is asleep. Would it be allowable that all party members stand around the sleeping nasty, and everyone tries simultaneously to deliver a coup de grace, so the monster is really dead? What are your opinions, should I allow this as a GM?
Both 'Yes' and 'No' are reasonable and justifiable
As the other answers noted, sticking to the RAW, Pathfinder doesn't cover the simultaneous action required for multiple coup-de-grace attempts, but this is exactly the place for the DM to make a judgement call.
Without the simultaneous coup-de-graces, if the first strike didn't outright kill the monster, it will awake (grumpy and in great pain) - negating any further coup-de-grace maneuvers. This may turn into a redundant anti-climax as the other characters (with their delayed initiative) stab at the monster while it lies prone. So, if it'll probably die anyway before getting a chance to act, you can reasonably go with the dramatic instead of sticking to the mechanics of turn-based combat simulation.
On the other hand - consider the same scenario with an immensely powerful monster - such as a 200 hp purple worm, which fails the will save against Slumber at the beginning of combat (which is not unlikely, given it's +4 Will save). If you allow only a single coup-de-grace attempt, the worm has a fair chance of surviving it (a +17 Fort save vs. 10 + Damage inflicted), leaving the group to fight a grumpy purple worm, which in all likelihood will swallow the offender and poison at least one of his comrades on it's first turn. Allowing the whole party to "join the coup-de-grace party" will probably make for a poor alternative to an epic combat - or to some brilliant problem solving and role-play, as the PCs try to find a way to slay the worm without waking it first...
Finally, consider how you will handle a helpless player character at the mercy of, say, 10 kobolds (one of them a 2nd level Witch with the Slumber hex). If the PC survives the first coup-de-grace (3 x (1d6 - 1) for a kobold spear averages 7 hp damage and a Fort 17 save) it'll be much more satisfying for everyone around the table if he gets a chance to act, and kill his captors like a bad-ass, instead of having to suffer an average of 63 more hp damage and making 9 more Fort 17 saves before he gets a say.
Bottom-line: It all comes down to two factors:
On my current group, I'd probably allow this only as a time-saver when a single coup-de-grace will likely kill the monster anyway, but not against stronger opponents or against the PCs themselves.
Final Note: taking the time to tie the monster so it'll remain helpless even after the first coup-de-grace will solve this rules-wise, but only for opponents you can reasonably tie (excluding most strong and big opponents...)
In a word, Yes.
There are no rules in pathfinder, as far as I am aware, that allow 'simultaneous actions'. Therefore, the monster would wake up after the first coup-de-grace attempt (even on the same initiative due to delay etc) and make further coup-de-graces ineligible (although power-attacking a prone opponent seems like it would work too).
But, this is dumb. The rounds/initiative system abstraction should not be allowed to get in the way of common sense. If players are all running down a corridor, you can wait until the end of round to activate the pit trap they have all unknowingly run through, as they are, at least in the context of the narrative, all running forward together at the same time.
By the same token, saying that the group can't gather around, whisperedly 'count to 3' and then shove swords and, plows, other melee implements through some monster's heart and face at the same time is ridiculous. In the real world, people can do that. Why not in a game that's supposed to be set in a real world, too?
In situations like that, it's the GM's job to parse the rules of the game through the filter of versimilitude, and settle on what makes the most sense. It isn't even overpowered or broken - once a monster fails a will save to sleep, typically the party is going to kill it - that they kill it without a round of it flailing at them from the ground as they gangstab it is hardly going to change the course of the story.
Yes, that should be fine. You could always argue that even though everyone can delay to the same initiative count that the first strike removes the sleeping/helpless condition, but:
a) it makes sense from a simulation point of view for everyone to lean in on them ol' weapons as one
b) dramatically, the fight is over. Bringing them back just to prolong battle isn't very satisfying from a story point of view.
As someone who just got done playing a witch in Carrion Crown, it was very hard to get slumber to lead to a coup de grace unless it was the very last opponent; someone usually got a kick in before someone could move up and full-round action. So let them have their moment of glory.
We often don't bother with even rolling the coup de graces, we just declare the goblins dead- at the END of a fight, not the beginning (sleeping foes in a sneaky environment). Or if it's like a cave bear or dragon or something where even a good stab would reasonably just get you torn limb from limb. My PCs came across a sleeping cave bear once, and they kept vacillating between 'group coup de grace or run for it.' Anyway, let realism and story carry your game, assuming that's what your players enjoy.
Clarification- Are all other combatants dead/dying/unconscious? Your question states that "the last big bad monster" is asleep, but doesn't specify if anyone else might oppose this. If there are other combatants still active, I suggest maintaining initiative order.
While I generally agree with everyone else here in saying that I play with simulation trumping rules, like you I second guess myself whenever the two are in obvious conflict to see if I've made a mistake. And in fact, there is a way in the rules to do this. The readied action. At the very bottom of that page are special initiative actions.
In other words; Me, Susan, and Sam are planning to stab the sleeping Urist McOrk. Susan whispers "on seven" since we all need to have our initiative come up in order to ready the action. She counts off, and me and Sam ready an action of "When Susan says seven, I stab McOrk." Susan readies an action of "Seven seconds from now, I stab McOrk." Then she says seven, and we all stab him.
Do you need to go through that every time your party wants to do something at the same time? No, of course not. That might get tedious. But if there's any controversy over the action (for example, if Joan the Paladin disagrees with attacking a helpless foe) then it's good to know the relevant rules.