Make lemon aioli dip. Whisk together egg yolk, garlic, and lemon zest in a medium bowl. Slowly add olive oil while whisking constantly. Add lemon juice and cayenne, whisking until smooth. Season with salt and set aside.

Make seasoning sauce for shrimp. Combine sherry, soy sauce, ketchup, orange juice, sambal, honey, and orange zest in a medium bowl.

Heat 2 tablespoons oil pver medium heat and saute garlic and jalapeno slices for 1 minute. Add shrimp and cook just until it starts to turn pink. Add seasoning sauce, increase heat to high and simmer for 1 minute or until shrimp is fully cooked and coated in sauce. Remove from heat and stir in cilantro.

Transfer citrus chile garlic shrimp to serving platter and serve with lemon aioli dip.