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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. Serve on bread or over lettuce.