Combine the peppers, celery, onion, parsley, 1 tablespoon lemon juice and 1/2 teaspoon salt in a medium bowl. Let sit for 30 minutes to marinate and soften.
Whisk together the chili sauce, Worcestershire, the remaining lemon juice, hot sauce, oregano, paprika, onion powder and garlic powder in a small bowl; set aside.
Pat the shrimp dry on a plate, and season with 1/2 teaspoon salt and a few grinds of black pepper. Melt the butter in a large skillet over medium heat, then add the shrimp. Cook until they turn pink on the bottom, about 2 minutes, then flip and cook until they are totally pink and start to curl, about 2 minutes more; transfer the shrimp to a clean plate. Add the chili-sauce mixture to the skillet, and simmer until it is reduced and thickened, 2 to 3 minutes. Remove the pan from the heat to cool.
Roughly chop the shrimp, add to the cooled sauce and stir to combine. Cover and refrigerate until ready to use.
Put a slice of bread between 2 pieces of plastic wrap, and roll with a rolling pin to flatten. Spread a heaping teaspoon of mayonnaise over the bread. Arrange 2 tablespoons of the BBQ shrimp in a neat row along the bottom edge of the bread. Top with some of the vegetable mixture. Use the plastic wrap to help roll the bread up into a tight cylinder. Wrap it tightly in a fresh piece of plastic wrap, and refrigerate for at least 2 hours and up to overnight. Repeat with the remaining ingredients to make 8 roll-ups total.
When you're ready to serve, unwrap the roll-ups, cut each into 4 pieces.
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