Preheat air fryer to 400°F (200°C) for 3 minutes.
Whisk egg until combined, then slowly drizzle in olive oil while whisking until pale and creamy.
Add milk, flour, salt, and pepper to the egg mixture and whisk until smooth and thick.
In a shallow bowl, combine panko and coconut flakes.
Pat shrimp dry with paper towels.
Dip each shrimp into the batter, letting excess drip off, then coat in the coconut-panko mixture, pressing gently.
Place coated shrimp in a single layer in the air fryer basket, leaving ½ inch space between pieces.
Cook at 400°F (200°C) for 8 minutes, flipping halfway through, until golden and opaque.
While shrimp cook, combine diced mango, bell pepper, serrano, cilantro, and lime juice in a bowl. Toss and season with salt.
Serve shrimp immediately with mango salsa.