In a small bowl, use a whisk or small spatula to mix sriracha chili sauce, horseradish sauce, and mayonnaise. Set Aside.
Wrap the Firecracker Shrimp:
Marinade shrimp in a gallon ziplock bag, mix teriyaki sauce and garlic. Place clean deveined shrimp with tails-on into the bag, rest for 20 minutes in the fridge. Turn bag every 5 minutes or so to evenly coat shrimp with marinade.
Line a large baking sheet with parchment paper.
Cut a stack of 8 square spring roll/egg roll wrappers (they are 7 x 7 inches out of the package) into thirds, lay strips on top of each other spaced evenly with 1" at the top showing. This helps the wrapping process go faster.
Brush beaten egg over the top each strip, this acts as a glue to keep the wrapper sealed when baking.
Remove the shrimp from the marinade, and dry with paper towels.
Lay one shrimp across the bottom of each spring roll strip with the tail sticking out.
Tightly wrap the shrimp up, and press egg wash sealed edge firmly together at the seam.
Place all wrapped firecracker shrimp on the parchment lined baking sheet, spray shrimp with coconut oil. The coconut oil sprayed on the firecracker shrimp will help crisp them in the oven.
Oven Bake The Firecracker Shrimp
Preheat oven to 400 degrees.
Bake 12 minutes at 400 degrees, flip over, spray again with Coconut oil, bake 12 more minutes until golden brown.
Serve on a platter with small bowls of Spicy Sriracha-Horseradish Dipping Sauce and plain teriyaki sauce.
*Shrimp package will state 16-24 per pound, those are the extra jumbo/large shrimp you want.