Make the dipping sauce: Whisk the sweet chili sauce, mayonnaise and lime juice in a bowl.
Make the chicken fingers: Preheat the oven to 425 degrees F. Spread the coconut on a baking sheet and bake, stirring occasionally, until golden brown, about 10 minutes. Transfer to a shallow dish and let cool, then stir in the panko, paprika and coconut oil. (The mixture should resemble wet sand.) Whisk the eggs and 1/2 teaspoon salt in a separate shallow dish.
Set a rack on a baking sheet; coat the rack with cooking spray. Dip the chicken in the egg mixture, shaking off any excess; coat with the coconut mixture, pressing firmly to adhere. Place the chicken on the prepared rack; coat generously with cooking spray. Bake until cooked through and golden brown, 15 to 20 minutes. Serve with the dipping sauce.