COMBINE first 4 ingredients in pie plate; set aside. Whisk egg and water in separate pie plate until blended.
DIP shrimp, 1 at a time, in egg, then in coconut mixture, turning to completely coat both sides of each shrimp with egg before coating with coconut mixture; place on baking sheet sprayed with cooking spray. Press coating mixture firmly onto shrimp to secure.
BAKE 10 to 12 minute or until shrimp are done.
For the sauce, combine sauce ingredients in a small saucepan and cook over medium heat until hot.