Combine shrimp and cornstarch in a heavy-duty zip-top plastic bag; seal and shake to coat.
Combine water and egg whites in a bowl; beat with a whisk until foamy.
Combine cracker crumbs, paprika, salt, and pepper. Dip shrimp in egg white mixture; dredge in crumb mixture. Place on a baking sheet coated with cooking spray; lightly coat shrimp with cooking spray.
Broil 5 minutes or until shrimp are done, turning once. Serve with cocktail sauce and lemon wedges.