If using regular yogurt, place it in a strainer lined with a paper towel. Place the strainer over a bowl and allow to drain and thicken for 20 minutes.
Combine the thickened or Greek yogurt, mayonnaise, lime juice, ancho chili powder and lime zest in a small bowl and mix well to incorporate. Set aside.
Prepare the Shrimp:
Place flour, chili powder, garlic powder and 1/2 teaspoon salt in a shallow bowl and stir with a fork to incorporate. Place egg whites in another shallow bowl and beat lightly. Place cornmeal, 1/4 teaspoon salt and pepper in a third bowl and stir with a fork to incorporate. Toss the shrimp, a few at a time, in flour until well coated. Shake off excess flour, then dip in egg whites. Transfer to cornmeal mixture and toss to cover all sides. Reserve coated shrimp on a baking sheet or piece of parchment paper and repeat with remaining shrimp.
Preheat broiler. Brush a large cookie sheet with the oil and heat the oiled sheet under broiler for 3 minutes. Remove from oven and quickly arrange shrimp in a single layer on the cookie sheet. Spray with cooking spray. Place shrimp under broiler and broil until crisp and browned, about 5 minutes.
Serve shrimp with dipping sauce.