In a small bowl combine olive oil and grated lemon peel. Let sit overnight. Strain mixture using a fine sieve.
Preheat oven to 400-degrees. Lightly coat a sheet pan with canola oil. Slice shrimp 3/4 of the way lengthwise to butterfly. Roll flat in 1/2-ounce kataifi dough. Bake for 5 to 7 minutes or until kataifi turns light brown.
Serve with 1-teaspoon lemon oil and 2 tablespoons papaya relish.