For the shrimp: Position a rack in the center of the oven and preheat the broiler. Set a wire rack in a rimmed baking sheet and spray the rack with oil.
Pat the shrimp dry.
Place the flour and salt in a bowl and whisk together. Place the eggs in another bowl, and the coconut in a third bowl.
Working in batches, lightly coat the shrimp in the flour and gently tap to remove the excess; dip in the egg and then roll in the coconut to coat. Place the coconut shrimp on the prepared wire rack.
When all the shrimp are on the rack, lightly spray them with oil. Transfer the baking sheet to the oven and broil the shrimp on the center rack until crispy and cooked through, about 3 minutes per side.
Meanwhile, make the sauce: Place all of the ingredients in a small bowl and stir until combined.
Serve the coconut shrimp with the dipping sauce on the side.