Combine first 6 ingredients in a bowl; stir well with a whisk.
Preheat oven to 450°.
Peel and devein shrimp, leaving tails intact. Combine shrimp, vegetable oil, salt, and pepper in a bowl; toss gently. Place shrimp on a foil-lined baking sheet; sprinkle with sesame seeds. Bake at 450° for 7 minutes or until shrimp are done. Serve with sauce.