Peel, devein and wash the raw shrimp. Dry them well on paper towels and set aside.
In a bowl, mix all dry ingredients for batter: flour, cornstarch, salt, and white pepper.
Add 2 tablespoons of vegetable oil and ice water to the dry ingredients, stirring to blend until smooth.
Heat oil in a deep fryer or electric skillet to 350°F.
Spread the shredded coconut on a flat pan in a thin layer.
Dip each shrimp in the batter, then roll it in the shredded coconut to coat.
Carefully fry the shrimp in the hot oil until lightly browned, about 4 minutes.
After frying, bake the shrimp at 300°F for an additional 5 minutes to ensure they are fully cooked.
For the sauce, combine orange marmalade, Grey Poupon mustard, honey, and Tabasco sauce in a bowl, adjusting the Tabasco to your taste.
Serve the coconut shrimp with the prepared dipping sauce.