Bring water, lemon rind and juice, parsley, crushed garlic, salt, peppercorns and bay leaf to boiling in large saucepan. Add shrimp; return to boiling; cook 1 minute or until pink and cooked through. Drain; rinse under cold running water. Peel the shrimp and devein.
Combine vinegar, mustard, ketchup, horseradish, paprika, garlic, pepper, salt and hot-pepper sauce in blender or food processor. Whirl until pureed. With motor running, gradually pour in oil in slow, steady stream. Pour into bowl. Stir in green onion and parsley.
Serve sauce with shrimp. Garnish with lemon slices. Makes 6 servings.
The sauce can be made a day ahead and refrigerated to allow flavors to mellow.