Start with three shallow bowls to prepare your stations. Add flour to the first bowl. Lightly scramble the eggs and water in the second. Combine the breadcrumbs and remaining ingredients in the third bowl.
Dredge shrimp in flour, followed by the beaten eggs, and then the breadcrumb mixture.
Lay out the shrimp in a single layer on a greased cookie sheet. Once all shrimp are prepared, lightly coat with cooking spray.
Air fry or bake coconut shrimp at 375F for 8-10 minutes until golden brown.
Spicy Orange Sauce
Combine all ingredients in a small bowl. Adjust the amount of sriracha to your preference depending on how spicy you want it.