Place mango, cream of coconut, garlic, chipotle pepper, lime juice, rum, ginger, cayenne pepper sauce, coriander, cumin and salt in food processor. Process until smooth. Transfer to a large bowl or Ziploc bag.
Add cilantro and shrimp to mango marinade. Toss well to coat all shrimp. Let marinade up to 2 hours.
Preheat oven to 350 degrees. Place shrimp on parchment paper lined baking tray, making sure shrimp are all facing the same direction (this will make it easier to skewer once the shrimp are cooked).
Bake shrimp until cooked through (tails will curl so shrimp looks like a lollipop), about 13 minutes.
Let shrimp cool. Skewer with bamboo skewers.
Adapted from Bite By Bite by Peter Callahan