Preheat the air fryer to 375°F.
Pat the shrimp completely dry with paper towels.
Combine shredded coconut, almond flour, Parmesan, garlic powder, paprika, onion powder, salt, pepper, and cayenne in a shallow bowl.
Whisk the eggs in a separate shallow bowl.
Dip each shrimp into the egg mixture and allow excess egg to drip off.
Press the shrimp into the coconut mixture until evenly coated.
Lightly spray the air fryer basket with avocado oil.
Arrange shrimp in a single layer without overcrowding.
Lightly spray the shrimp with additional avocado oil.
Air fry for 7 to 9 minutes, carefully flipping halfway through.
Whisk the dipping sauce ingredients together while the shrimp cook.
Serve the coconut shrimp immediately with dipping sauce and fresh lime if desired.