In medium bowl, combine egg, all purpose flour, coconut milk, lime juice, lime zest and baking powder.
Place 1/4 cup + 2 Tablespoons coconut flour and shredded coconut in two separate bowls.
Hold shrimp by tail, and dredge in flour, shaking off excess flour. Dip in egg/milk mixture; allow excess to drip off. Roll shrimp in coconut, and place on a baking sheet lined with wax paper.
Refrigerate for 30 minutes (SO IMPORTANT IN ORDER FOR COCONUT TO STAY ON WHILE PAN FRYING).
Meanwhile, heat oil in grill pan (or regular saute pan).
Saute' shrimp in batches: cook, turning once, for 2 to 3 minutes, or until golden brown.
Using tongs, remove shrimp to paper towels to drain. Serve warm with your favorite dipping sauce. Garnish with lime wedge.