In a medium bowl, combine the marmalade, mayonnaise, and Dijon mustard. Cover and refrigerate for at least several hours to allow flavors to blend. Do the same if making the sriracha sauce.
Preheat air fryer to 400 degrees F (200 degrees C). Align the basket tray with parchment or foil paper, coat with cooking spray.
Peel and devein shrimp leaving the tails on. Then butterfly the shrimp: cutting halfway through the back, stopping at the tail, so they will be able to stand tail up.
Whisk the egg, coconut milk, or buttermilk, and flour in a medium mixing bowl until a smooth batter is formed.
In another bowl, mix breadcrumbs, coconut flakes, and spices.
Hold the shrimp by the tail. Dip each shrimp first into the batter, and then roll in seasoned coconut flakes mixture.
Place the shrimp in a single layer in the fryer and cook for about 3-4 minutes. Flip shrimp over and cook on the other side and cook until golden for another 3 minutes more.
Repeat until all the shrimp have been used up.