1. In a large saucepan, combine the water, garlic, bay leaves, lemon zest and chiles. Cover and simmer over low heat for 10 minutes. Uncover, add the salt and let the brine cool.
2. In a small saucepan, combine the lemon juice and sugar and boil over high heat until reduced by half. Add the reduction to the pickling brine.
3. Bring a large saucepan of water to a boil. Add the shrimp and cook for just 1 minute, then drain.
4. Arrange the cucumber spears around the side of a large glass bowl. Put the shrimp in the center and cover with the brine. Place a plate directly on the shrimp and cucumbers and weight it down with canned goods to keep the shrimp and cucumbers submerged. Cover and refrigerate overnight. Arrange the shrimp and cucumbers on a platter and serve.
Make Ahead: The shrimp and cucumbers must be refrigerated overnight and served the next day.