Combine spicy orange sauce ingredients and refrigerate.
Preheat oven to 200°F.
Line a baking sheet with parchment paper.
Place a wire rack on a second baking sheet and line with a triple layer of paper towels.
Place shrimp in a bowl, sprinkle with 1/4 tsp. salt and baking soda. Toss to coat and let stand for 15 minutes.
1st bowl - Cornstarch
2nd bowl - Whisk together egg whites and 1/2 tsp. salt until frothy.
3rd bowl - Combine coconut, panko, and 1/2 tsp. salt
Using shrimp tail as a handle, one at a time, dredge shrimp in cornstarch, dip into egg whites (rewhisk as needed to keep frothy), and coat with coconut mixture (press gently to adhere). Place breaded shrimp on parchment lined baking sheet.
Place oil in a large saucepan (oil measuring 1" deep) and heat to 325°F.
Add half of the shrimp to hot oil. (Put shrimp in one at a time to avoid them sticking together in a clump.) Cook until deep golden brown (2-4 minutes). Stir so the shrimp don't stick together.
Place cooked shrimp on prepared wire rack and keep warm in the oven.
Remove coconut from oil with a slotted spoon before cooking the second batch.
Serve with dipping sauce.