Preheat oven to 400 degrees
Spray a cookie sheet with cooking spray.
Season the shrimp with salt and pepper.
Get out three small bowls. Put the cornstarch in the first bowl, the egg white in a second bowl and a mixture of the coconut and panko in the third bowl.
Mix the egg white until they get frothy and start forming peaks.
Dip each shrimp individually in the egg whites allowing a thick coating to stick. Next dip the shrimp into the cornstarch. Finish by carefully pressing each shrimp into the coconut panko mixture until it is completely covered.
Place the shrimp on the cookie sheet.
Repeat with the rest of the shrimp, not allowing the shrimp to touch on the cookie sheet.
Bake on 400 degrees for 8-10 minutes
For the Sauce:
In a non-stick sauce pan bring the coconut milk, crushed pineapple, sugar and vanilla to a simmer. Allow to cook for 5 minutes, or until slightly thickened.
Mix the cornstarch and addition teaspoon of coconut milk in a small bowl.
Slowly pour the starch mixture into the pan, whisking as you pour.
The sauce should be thick within 1-2 minutes. Remove from heat and serve with the coconut shrimp.