Preheat oven to 425°. Place a wire rack on each of two baking sheets; coat racks with cooking spray. Peel and devein shrimp, leaving tails on.
In a shallow bowl, toss coconut with bread crumbs; remove half of the mixture and reserve. In another shallow bowl, whisk egg whites, hot sauce, salt and pepper. Place flour in a third shallow bowl.
Dip shrimp in flour to coat lightly; shake off excess. Dip in egg white mixture, then in coconut mixture, patting to help coating adhere. Refresh coconut mixture in bowl with reserved mixture as needed.
Place shrimp on racks of prepared pans. Bake 5-6 minutes on each side or until coconut is lightly browned and shrimp turn pink.
Meanwhile, combine sauce ingredients in a small saucepan; cook and stir over medium-low heat until preserves are melted. Serve shrimp with sauce.