Preparing the Coconut Shrimp:
Heat oil: In a deep fryer or large skillet, heat about 2 inches of vegetable oil to 350°F (175°C).
Prep dredging stations: Place flour in a bowl. In another bowl, whisk eggs and milk together. In a third bowl, combine shredded coconut, panko breadcrumbs, salt, and pepper.
Coat shrimp: Dredge each shrimp in flour, then dip into egg mixture, and finally coat with the coconut-panko mixture. Press gently to adhere well.
Fry shrimp: Fry shrimp in batches for about 2-3 minutes or until golden brown and crispy. Avoid overcrowding. Remove and drain on paper towels or wire rack.
Making the Piña Colada Sauce:
In a small bowl, whisk together mayonnaise, crushed pineapple, cream of coconut, honey, lime juice, and a pinch of salt until smooth and well combined. Chill until ready to serve.