1. Preheat oven to 375°.
2. To prepare sauce, place all sauce ingredients in a food processor; pulse 3 times or to desired consistency. Transfer to a serving bowl.
3. To prepare shrimp, peel and devein shrimp, leaving tails intact. Combine flour, salt, and red pepper in a large zip-top plastic bag. Combine egg whites and 2 tablespoons water in a shallow dish, stirring with a whisk. Combine panko, coconut, and oil in a separate shallow dish.
4. Place shrimp in zip-top plastic bag; seal and shake to coat. Dip shrimp in egg white mixture; dredge in coconut mixture. Stand coated shrimp on their ends on a wire rack coated with cooking spray set on a baking sheet.
5. Bake at 375° for 12 minutes or until shrimp are done. Serve with sauce.