Preheat oven to 400°F. Line a rimmed baking sheet with foil, spray lightly with cooking spray and set aside.
To prepare shrimp, cut down the back and slightly fan but leave tails intact. Place on a paper towel and pat dry.
Combine cornstarch, salt, and pepper in a small dish and stir. Place egg whites and yolk in a medium bowl; whisk or beat with a mixer at medium-high speed until frothy (about 2 min). Mix coconut flakes and bread crumbs in a shallow dish.
Dredge the shrimp, one at a time, in cornstarch mixture. Dip it in the egg mixture, and dredge in coconut mixture. Make sure you are pressing gently with fingers to secure the coconut. Place shrimp on a baking sheet.
Bake for 25 min turning halfway (be gentle so the coconut does not fall off).