My 4 month old still does that. Yes, sometimes they can choke, but coughing means that they have the natural reflex to prevent milk from going into the windpipe. If baby coughs and then continues to remain well after that (continues feeding/playing/sleeping, and doesn’t turn blue), then it’s fine:) But it’s always useful to go read up and learn how to do the baby Heimlich manouvre, just in case baby does choke one day and can’t cough it out.
Occasional coughing is common for babies, only if the cough is prolonged and regular then you should bring baby to see doctor. If baby is choking, they won't be able to cough or make any sound and their face will change color. So coughing is actually a good sign that they're not choking.
It’s normal if it’s just random coughing 1-2 times. Just check on her from time to time when she is sleeping and make sure she sleeps on her back.