Preheat your oven to 425°F (220°C). Line a large baking sheet with parchment paper and set a wire rack on top if you have one. This helps with crisping.
Lightly oil or spray the rack.
Pat the shrimp dry with paper towels. Dry shrimp = better crunch. Set aside.
Set up three shallow bowls.
In the first, whisk the almond flour with salt, pepper, garlic powder, and paprika. In the second, beat the eggs with the heavy cream. In the third, add the shredded coconut.
If you like heat, add a pinch of cayenne to the almond flour mix.
Working one shrimp at a time, dredge in the seasoned almond flour, then dip into the egg mixture, letting extra drip off, and finally press into the shredded coconut to coat well. Place on the prepared rack. Repeat with all shrimp, spacing them out.
Lightly drizzle or spray the tops with avocado or olive oil.
This boosts browning and crunch.
Bake for 10–12 minutes, flipping once halfway through. Shrimp are done when opaque and the coating is golden. Large shrimp may take up to 14 minutes; avoid overcooking.
While they bake, make the dipping sauce if using.
Whisk the sugar-free marmalade, vinegar, coconut aminos, and red pepper flakes until smooth.
Season the cooked shrimp with a tiny pinch of salt if needed. Serve hot with the dipping sauce and lemon wedges, if you like.