Coal is made of carbon molecules, and so is graphene. But then again so is diamond, and graphite (pencil lead). So it's not easy to convert coal->graphene (though it's probably not as hard as graphite->diamond :)

https://secure.wikimedia.org/wikipedia/en/wiki/Allotropes_of...

Coal is largely dirty (impure) carbon. Its easier to pull carbon out of thin air than refine it from coal.