Peel and devein the shrimp. Rinse under cold water and pat dry. Wash the vegetables: julienne the cucumber and carrot into thin strips, and tear the lettuce into smaller pieces.
In a small bowl, combine the mayonnaise, wasabi paste, and lemon juice. This will be the creamy, spicy sauce for the shrimp. Adjust the spiciness to your liking by adding more or less wasabi.
Bring water to a boil, then cook the shrimp in lightly salted water for 2-3 minutes, until pink and cooked through. Drain and let cool slightly, then toss with the wasabi sauce. Let it rest for a few minutes to allow the flavors to meld.
Steam the bao buns in a bamboo steamer or metal strainer, covered. Steam for 6-8 minutes, or until completely soft and pliable. Tip: Avoid lifting the lid during steaming to prevent them from losing moisture.
Gently open the bao buns. Place a small amount of lettuce on the bottom, followed by the carrot and cucumber. These provide a fresh, crunchy base.
Fill the bao buns with the wasabi shrimp. Sprinkle the top with black sesame seeds and microgreens. Tip: For an even fresher flavor, grate a little lemon zest on top.
Serve immediately while the bao is warm and soft, and the shrimp is juicy and spicy. A cold, refreshing drink pairs well, such as lemon water or iced green tea.
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