Step 1: Preheat oven to 375°F. Line a large, rimmed baking sheet with foil and mist with cooking spray.
Step 2: Place 3 wide, shallow bowls on work surface.
Step 3: To first bowl, add flour; to second bowl, add eggs and beat lightly; to third bowl, add panko, coconut, salt and pepper and stir to combine.
Step 4: Pat shrimp dry with paper towels. Holding 1 shrimp by the tail, dip in flour, shaking off excess. Quickly dip in egg, then in coconut mixture, coating thoroughly. Place on baking sheet and repeat with remaining shrimp.
Step 5: Bake for 8 to 11 minutes, turning once, until shrimp are firm to the touch and lightly browned.
Step 6: Meanwhile, in a small saucepan, combine jam, lime juice, fish sauce and cayenne and cook, stirring constantly, until sauce is fluid and warmed through (NOTE: do not bring to a simmer.)
Step 7: Serve sauce with shrimp.
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