Preheat oven to 450 degrees and line baking sheet with foil and spray with cooking spray.
Using a pairing knife, partially butterfly each shrimp by slicing along the back of the shrimp. You may need to use your hands to remove the dark vein. season the prepared shrimp with salt and freshly cracked pepper.
To assemble, place a jalapeño strip into the slit we made in the shrimp and wrap entirely with a piece of bacon. Secure with a toothpick and transfer to prepared baking sheet. Repeat with remaining shrimp.
Bake for 20-25 minutes, flipping halfway through, until shrimp is cooked and bacon is crispy.
While shrimp is cooking, prepare your sauce by adding all ingredients to your blender or food processor and pulse until smooth and creamy. Store in fridge until you are ready to serve.