Preheat the oven to 400F. Line a sheet pan with parchment paper.
Drizzle the shrimp with olive oil and 1 tsp of Old Bay. Toss to combine. Roast for 8-10 minutes (for 16-20 count), or until the shrimp are opaque and "c" shaped.
Top the shrimp with a squeeze of fresh lemon juice
Make the Aioli
Combine the remaining ingredients in a small bowl (including the remaining 1 tsp Old Bay). Refrigerate until ready to use.