Rinse and pat the shrimp dry with paper towels.
Toss the shrimp in 1 tablespoon flour to lightly coat.
Whisk the egg and cold water in a bowl until combined. Sprinkle in the scant ¾ cup flour gradually while whisking to form a smooth batter.
Add salt, then toss the flour-coated shrimp in the batter.
Lift each shrimp out with a fork, allowing the excess batter to drip off before cooking.
Air Fryer Method: Preheat to 360°F. Spray the basket with nonstick spray and add battered shrimp in a single layer. Air fry for 4 minutes, flip, mist again, and cook for another 4 minutes or until crispy. Repeat in batches.
Oven Method: Preheat oven to 425°F. Line a baking sheet with parchment paper and spray with oil. Add shrimp in a single layer and bake for 5 minutes per side. Flip, spray again, and bake another 5 minutes until crisp.
While shrimp cooks, whisk mayonnaise, sweet Thai chili sauce, sriracha, and water in a small bowl to make the sauce.
Toss cooked shrimp in the sauce or serve it on the side for dipping. Garnish with romaine and green onions, if desired.