Preheat oven to 450 degrees. Line a baking sheet with parchment paper.
Set up your breading station with 3 bowls. In the first bowl, mix together cornstarch, paprika, and salt. In the second bowl beat together egg and milk. In the last bowl mix the coconut and panko.
Dip the shrimp in the cornstarch and shack off the excess. Dip in egg mixture. Finally dip in coconut mixture and press to adhere to the entire shrimp. Place on baking sheet and repeat until all shrimp are breaded.
Bake at 450 degrees for 8-10 minutes. In my experience the shrimp has been cooked perfectly when the coconut begins to brown.
While the shrimp is baking mix together the orange marmalade and honey mustard. Adjust amounts to suit your taste.
Serve shrimp hot with the dipping sauce. Enjoy!