Add the ingredients for the shrimp marinade to a medium bowl and mix well. Add the shrimp and mix until evenly covered with the marinade.
Meanwhile, prepare the dipping sauce. Put all of the ingredients for the dipping sauce in a small bowl and whisk until well blended. You can just use a fork for that. If the sauce is too thick to your liking, you can thin it with a little bit of water.
Marinate for about 15 minutes at room temperature. If possible, marinate in a fridge overnight and even up to 24 hours. The longer you marinate the better the flavors will be.
Place the shrimp on the rack of your air fryer, leaving some space in between for air circulation. Fry at 410F for about 6 minutes or until the internal temperature of the shrimp has reached 140F. Use an instant read thermometer to gauge the temperature. Smaller shrimp will take 4-5 minutes to cook, while jumbo shrimp will require a few extra minutes to get done.
Once the shrimp are cooked, transfer them to a serving platter and serve with lemon wedges the dipping sauce while hot.