Stir together 2 tablespoons olive oil, 1/8 teaspoon kosher salt, 1/8 teaspoon pepper, and next 5 ingredients in a medium bowl. Set aside.
Peel shrimp, leaving tails intact; devein, if desired. Set aside.
Bring water to a boil; dip shrimp in vodka, and add to boiling water. Cook 3 to 5 minutes or just until shrimp turn pink. Drain and plunge into ice water. Drain and pat dry with paper towels. Add shrimp to onion mixture; toss well. Cover and chill 2 hours.
Combine fennel, remaining olive oil, salt, and pepper, and 2 tablespoons lemon juice; toss well; cover and chill 2 hours.
To serve, spoon fennel mixture onto 2 individual serving plates. Arrange shrimp around fennel; drizzle remaining onion mixture over shrimp. Garnish, if desired.