1Zest orange and place in bowl. Squeeze same orange to get 2 Tbsp of juice. Add to zest. Add mayo, salt, pepper whisk together. Add vinegar, whisk again. Set aside.
2In another bowl add onion, dill and capers-set aside.
3Roast shrimp-peel and de-vein shrimp. Place on cookie sheet in single layer. Drizzle with extra virgin olive oil, salt and pepper. Toss to coat, bake @ 400 for 6-8 mins.
4When done place shrimp in bowl. Add sauce to shrimp in bowl for portion control (make sure shrimp is still warm when adding sauce, it absorbs better) Add veggies and toss. Add more salt and pepper as desired to taste.
5Let sit 20 mins @ room temp then serve immediately. Or cool 1-2 hours before serving.