Preheat an oven to 200 degrees C. Lightly coat a baking tray with cooking spray.
Rinse and dry prawns with paper towels. Mix cornflour, salt and cayenne pepper in a shallow bowl. Pour coconut flakes in a separate shallow bowl. Working with one prawns at a time dust it in the cornflour mixture then dip it in the egg white then roll it in the coconut making sure to coat the prawns well. Place on the prepared baking tray and repeat with the remaining prawns.
Bake the prawns until they are bright pink on the outside, the meat is no longer transparent in the centre and the coconut is browned; 15 to 20 minutes. Turn the prawns halfway through.