Pour enough peanut oil in a deep skillet to cover an inch from the bottom of the pan. Heat over medium to high heat. The oil is ready once you put a toothpick into it and bubbles form around it.
Place the flour on a flat dish and season with salt and black pepper. Mix together. On a separate flat dish, mix the coconut flakes and the panko crumbs. Season with salt and black pepper and mix.
Pat each side of the shrimp into the flour, then submerge the shrimp in the egg mixture. Lastly, pat each side of the shrimp into the coconut flakes and panko breadcrumbs mix.
Place about half of the coconut shrimp into deep skillet, or as many the will fit without overcrowding. Fry for about two minutes, making sure to flip over half way through to cook evenly. Remove the fried coconut shrimp from the pan and place on a paper towel lined dish. Repeat the same steps for the rest of the coconut shrimp.
For the salsa dip, add all of the ingredients into a bowl and season with salt and black pepper. Mix together and enjoy with the coconut shrimp.