How to Make It
Process chili sauce, chipotle pepper, adobo sauce, horseradish, and paprika in a mini food processor until smooth. Refrigerate until ready to serve.
Place shrimp in a single layer on a baking sheet lined with paper towels. Top with additional paper towels, and press gently to absorb any remaining moisture on shrimp. Set aside.
Pour oil to a depth of 1 1/2 inches in a large, heavy saucepan or Dutch oven, and heat over medium-high to 350°F.
While oil is heating, whisk together flour, club soda, salt, pepper, and lemon zest in a medium bowl until smooth. Dip shrimp into batter, leaving the tails uncoated and letting excess drip back into bowl.
Fry shrimp, in batches, in hot oil until golden brown, about 1 minute per side. Drain on paper towels. Serve with cocktail sauce and lemon wedges.