Place flour, salt, lemon zest, and Cajun seasoning in a bowl. Stir with a fork to evenly mix. Next, crack an egg in a bowl, add milk, and beat with a fork. Next, place panko on a plate. Set up the stations in a line starting with flour, then egg, and then panko. Place a clean plate at the end of the assembly line for the shrimp as they are done.
With your left hand dredge shrimp in the flour. Transfer to your right hand and dip it in the egg and then the panko. Press the panko into the shrimp so it is evenly coated. Place shrimp on the clean plate. Repeat with remaining shrimp. Keeping one hand dry will be helpful to reduce sticking, and make the breading process more efficient.
Add oil to the cast iron skillet. You want there to be about an inch of oil in the bottom. If you are using a smaller or larger skillet adjust amount accordingly. Heat oil oven medium high heat. The oil will sizzle if you sprinkle a few breadcrumbs in it when it is ready. Do not add the shrimp too soon.
Place shrimp in the pan using tongs. Try to keep them from touching so the pan is not too crowded and shrimp can cook evenly.
Cook shrimp 90 seconds per side. Gently flip the shrimp, but if the breading begins to stick allow them a little more time. The shrimp will not stick one the breading is cooked.
Remove shrimp from the pan and place on a paper towel lined plate. Serve immediately with the Cajun Dipping Sauce.