Peel the shrimp, leaving the tip of tail attached. With a paring knife, make a shallow, lengthwise slit along the back of each shrimp and pull out, or rinse out, the dark vein. Pat the shrimp dry.
Heat the oil in your deep fryer to 350 degrees F. Preheat the oven to 200 degrees F. Set a wire rack over a baking sheet. Line a second baking sheet with parchment paper.
Combine the water and egg yolk in a bowl. Whisk in the flour and curry powder until a smooth batter forms. Spread the coconut on a large plate. Hold the tail of a shrimp and dip it into the batter. Pull it out and let the excess batter drip away. Set the shrimp on the coconut and coat on both sides. Set the shrimp on the parchment paper-lined baking sheet. Repeat with remaining shrimp.
Fry the shrimp in batches until crispy and golden, about 2 minutes. Set on the wire rack and keep warm in the oven until all the shrimp are cooked. Serve the shrimp with mango chutney for dipping.