Preheat the oven to 425 degrees F. Line a baking sheet with parchment paper.
Set up a breading station by gathering three shallow bowls. Pour the cornstarch in a bowl and add a pinch of salt and pepper. Crack the eggs into a second bowl and add the coconut milk. Beat until incorporated, then add a pinch of salt and pepper. Put the shredded coconut in a third bowl and add a pinch of salt and pepper.
Sprinkle the shrimp with some salt and 1 teaspoon pepper. Working with 1 shrimp at a time, dredge the shrimp in the cornstarch and shake off excess, then dip in the egg mixture and let the excess drip off. Finally, toss in the shredded coconut mixture, gently pressing the coconut onto the shrimp. Spread the shrimp in one layer on the prepared baking sheet.
Lightly brush each shrimp with the coconut oil. Bake until the shrimp are golden brown and cooked through, about 10 minutes. Allow the shrimp to rest for 5 minutes. Serve with sweet chili sauce or cocktail sauce.
The shrimp may be breaded the night before and kept in the fridge, covered. Bring the shrimp to room temperature 30 minutes before cooking.