Make dip: Puree blue cheese, oil, and lemon juice in a food processor until smooth. Transfer to a bowl and whisk in cream. Serve dip with celery.
Make sauce: Stir together sauce ingredients.
Cook shrimp: Make a deep lengthwise incision along inner curve of each shrimp with a small knife, cutting all the way through flesh but not shell. Devein.
Toss with kosher salt and cracked pepper to coat. Heat 2 tablespoons oil in a 12-inch nonstick skillet over high heat until hot but not smoking, then cook shrimp in batches, without crowding, until just cooked through, about 3 minutes per side, adding more oil as needed. Transfer to a large bowl as cooked.
Add sauce to shrimp and toss well to coat.
Shrimp may be served hot or at room temperature. Blue-cheese dip can be made 2 days ahead and chilled, covered. Bring to room temperature before serving.