Preheat oven to 450 degrees F. Line a large baking tray with parchment paper and set aside.
Remove shrimp from freezer and place on a plate. Allow them to gently thaw (we want them half frozen when they go in the oven) while preparing the egg and coconut mixtures.
In a small bowl, whisk together eggs, 1/2 teaspoon of salt, and black pepper.
In a medium sized bowl, combine the coconut, rice cracker crumbs, coconut sugar, salt, and cayenne pepper.
Working with 1 shrimp at a time, dip each one in the egg mixture, then fully coat it in the coconut mixture. Place coated shrimp on the baking tray, leaving space between each shrimp. Be careful not to overcrowd your baking tray or the shrimp will steam instead of crisping and turning golden brown.
Spray shrimp with avocado oil spray. This is optional but helps the shrimp brown more golden.
Keeping the shrimp partially frozen as they bake prevents the shrimp from overcooking while the coating is crisping and browning. Bake the shrimp for 14 minutes.
Flip each shrimp over, and continue baking for an additional 6 minutes.
Serve the shrimp hot with dipping sauce. See notes for how to prepare shrimp ahead of time.