Peel and devein the shrimp, leaving the tails on. Place on a sheet pan with the olive oil, salt and pepper and spread them in one layer. Roast for 8 to 10 minutes, just until pink, firm and cooked through. Set aside to cool.
For the sauce, mix the chili sauce, ketchup, horseradish, lemon juice, Worcestershire sauce and Tabasco. Top the shrimp with lemon zest and serve with the sauce.