In a large pot with a tight-fitted lid, add water, sugar, salt, red onion, peppercorns, and fennel seeds. Juice half your lemon into the pot, and add in the peel as well. Reserve the other half of your lemon to serve in wedges. Bring this mixture to a boil on medium-high heat.
Once boiling, turn off the heat, move the pot off the heat, and add in your cleaned, deveined, and unpeeled shrimp. Cover tightly to cook your shrimp, set a timer for 3 ½ minutes for smaller shrimp, and 4 minutes for larger shrimp.
While your shrimp are cooking, fill a large bowl of ice water.
After the 4 minutes are up, using a spider tool or slotted spoon, transfer all your shrimp immediately to the ice bath.
Make your Lemon Old Bay Mayo
While your shrimp are cooling, make your mayo. In a small bowl, toss together mayo, zest, and juice of a lemon, old bay seasoning, sugar, salt, and pepper.
Carefully remove the peels from your shrimp, leaving the tails intact, repeat until all your shrimp are peeled.
Transfer your peeled shrimp to a shallow platter or bowl filled with ice, and serve alongside your mayo and lemon wedges.