Preheat oven to 400°F. On a large baking sheet, toss shrimp with oil
and season with salt and pepper.
Bake until shrimp are completely opaque, 5 to 7 minutes.
In a large bowl, whisk together mayonnaise, lemon juice and zest,
and dijon and season with salt and pepper. Add cooked shrimp, red
onion, celery, and dill to bowl and toss until combined.