Pulse first 8 ingredients in a food processor until very finely chopped. With motor running, slowly add oil; process until smooth. Season with salt and pepper. DO AHEAD: Romesco can be made 1 week ahead. Cover and chill.
In a medium sauce pan, bring water to a boil on stovetop. Add salt and 1 lemon that's been halved and squeeze some of the juice in the water. To cook the shrimp, drop in the boiling water and cook for 2 minutes. Drain the shrimp in a colander and top with ice cubes to help them cool and stop cooking. Peel and devein shrimp, leaving tails on. Once you can handle them, remove shells, and devein leaving tails on.
In a bowl, place the lemon zest and then toss the shrimp well to coat.
To build the Shrimp bites, cut rounds out of purchased naan or flatbread. Brush the rounds with olive oil and bake in a 450 degree oven for 5 - 8 minutes or until they start to turn golden. To build the bites, place the rounds on a platter, top with a smear of the romesco and then place the shrimp on top.