Step 1

Position a rack in top third of oven; preheat to 375 degrees F. Line a rimmed baking sheet with foil. Using a paring knife, cut along the outside curve of each shrimp, from bottom of neck to tail, almost all the way through. Arrange the shrimp on the prepared pan, laying them open, cut-sides down, pressing gently to flatten.

Step 2

Combine scallions, mayonnaise, celery, panko, bacon, lemon juice, salt and cayenne in a small bowl. Spoon 2 teaspoons of stuffing onto each shrimp. Fold the tail over the filling and press gently. Bake until the shrimp are opaque and the stuffing is warmed through, 5 to 8 minutes. Transfer to a serving platter and serve immediately.