Preheat oven to 400°F and line a large, rimmed baking sheet with parchment paper or a Silpat® baking mat. Set aside.
Combine almond flour, smoked paprika, ground cumin, garlic powder, and onion powder in a pie pan or shallow bowl. Season with salt and black pepper, to taste, and set aside.
In a second pie pan or shallow bowl, gently whisk the eggs and water until frothy. Season with salt and black pepper, as desired, and set aside.
Add shredded coconut to a third bowl and set aside.
Working one at a time, dredge each shrimp in the seasoned almond flour, then dip in the egg mixture. Allow excess egg to drip off before transferring shrimp to the bowl of shredded coconut. Turn to coat shrimp thoroughly before transferring to the prepared baking sheet. Repeat with remaining shrimp and season with additional salt and black pepper, if desired.
Place baking sheet in preheated oven and bake until golden-brown and crispy, around 12-15 minutes, turning once halfway through.
Remove shrimp from oven and serve immediately with avocado-lime dip on the side. Enjoy!