Prepare the shrimp by removing the head, shell, and vein. Make a small incision along the inner curve to straighten the shrimp. Leave the tail intact.

Wrap each shrimp with a slice of thinly sliced pork belly. Season with a pinch of salt and black pepper.

Heat a pan over medium heat and cook the shrimp wraps until golden brown and crispy on all sides.

Mix mayonnaise, lemon juice, chopped pickles, chopped onion, salt, and pepper to create the sauce.