Preheat the oven to 375°F. Combine the first 3 ingredients and 1/4 teaspoon of the cayenne pepper in a small bowl. Set aside until ready to serve.
Combine remaining 1/4 teaspoon cayenne pepper, flour, and salt in a large zip-top plastic bag. Whisk together the egg whites and 2 tablespoons water in a shallow dish. Combine the panko, coconut, and oil in a separate shallow dish.
Place the shrimp in bag with flour mixture, and shake to coat well. Dip the shrimp in egg white mixture, and roll in coconut mixture.
Place a wire rack inside a large baking pan. Coat baking rack with cooking spray. Arrange the shrimp in a single layer on rack, and bake at 375°F for 5 to 7 minutes or until golden brown and cooked through. Serve with reserved sauce.