Prepare tempura shrimp by patting whole jumbo shrimp dry. Peel and devein the shrimp if necessary. Leave the tails on to help prevent the shrimp from shrinking too much while cooking. In a small bowl, toss the shrimp with a pinch of salt and pepper to taste. Set the shrimp aside for the next step.
Make pork rind breading by pulsing fried pork rinds in a food processor until you have a fine crumb. If you don’t have a food processor, you can use a bullet blender or crush the pork rinds in a Ziploc bag with a rolling pin. Arrange the pork rind breading on a plate and coat the shrimp. Press the crumbs into the shrimp so they adhere, leaving a thin and even coating.
Brush the oil across the base of a cast-iron skillet. If you don’t have a cast iron, a non-stick skillet will work here too. Heat the skillet to medium-high heat until you see the oil just begin to smoke. Place the shrimp in the hot skillet and cook for about 2 minutes per side. Use a pair of tongs to turn the shrimp over until the breadcrumbs turn golden brown. Set the cooked shrimp aside to rest and cool.
Use a vegetable peeler to peel slices off a whole cucumber. Choose 10-12 slices of cucumber and arrange them into a flat layer on a paper towel by laying them vertically with each slice overlapping the previous one halfway. Press a second sheet of paper towel over the top of the cucumber layer to soak up excess moisture. Your layer of cucumber slices should look like the picture.
Lay a sheet of nori dried seaweed on top of the cucumber layer. Microwave room temperature cream cheese for just 10 seconds to soften. Use the back of a spoon or a small frosting spatula to spread the cream cheese in a horizontal strip across the edge of the nori sheet nearest to you. Leave about 1 inch of space between the cream cheese and the very edge of the sushi roll, as pictured.
Remove the tails from the tempura shrimp. Arrange the shrimp across the strip of cream cheese. Starting from the edge nearest you, lift the cucumber and nori layers and fold them over the cream cheese and shrimp filling. You can use the paper towel to help you lift the cucumber and roll the sushi up into a tight roll. Use a sharp knife to slice the finished sushi roll into 6 pieces. If you’d like to include shrimp tails like the recipe photo, leave the tails on the two shrimp on the ends of the sushi roll, and leave the tails sticking out as you roll and slice.
Make the spicy mayo by whisking together the mayo and Sriracha. Spread the spicy may on one side of your serving plate, and arrange the shrimp sushi around it. You may also dollop the spicy mayo directly onto the top of your sushi pieces. At your discretion, garnish the plate with extra Sriracha and a sprinkle of sesame seeds. Other Keto garnishes you can include with the sushi is soy sauce or small amounts of wasabi.