1. Preheat oven to 400 degrees.
2. Rinse and dry shrimp with paper towels.
3. Mix coconut flour, salt, and cayenne pepper in a shallow bow; pour coconut flakes in a separate shallow bowl.
4. Working with one shrimp at a time, dredge it in the coconut flour mixture, then dip it in the egg mixture, and roll it in the coconut, making sure to coat the shrimp well. Place on a baking sheet, and repeat with the remaining shrimp.
5. Bake the shrimp until they are bright pink on the outside and the meat is no longer transparent in the center and the coconut is browned, 15 to 20 minutes, flipping the shrimp halfway through.
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