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Position a rack in the top third of the oven and preheat the oven to 475°F. Line a baking sheet with parchment paper.
Pulse macadamia nuts in a food processor just until finely chopped. Transfer nuts to a shallow bowl and stir in coconut, salt and cayenne. Place egg mixture in another shallow bowl and arrowroot in a third shallow bowl.
Holding a shrimp by the tail, dip it in arrowroot and shake off excess. Next, dip it in egg mixture and let excess drip back into the bowl. Finally, dip shrimp in nut mixture, pressing gently so it adheres evenly. Place on the prepared baking sheet. Repeat with remaining shrimp.
Bake shrimp until lightly browned and crisp, about 8 minutes. Serve warm.