Heat the oven to 375 F. Lightly coat a baking sheet with cooking spray.
Place the coconut, panko and salt in a food processor and process until the mixture is an even consistency. Place the panko mixture in a small bowl. Place the coconut milk in another small bowl. Dip each shrimp in the coconut milk and then in the panko mixture, and place on the baking sheet. Lightly coat the top of the shrimp with cooking spray. Bake until golden brown, about 10 to 15 minutes.