Make 2 or 3 incisions in the stomach sides of each shrimp to straighten. Lightly press the back of shrimp to straighten. Remove the dirt from the tail of shrimp using a knife. Drain shrimps on paper towel completely.
Wrap each shrimp with one strip of bacon.
Make tempura batter. In a bowl, beat egg and add cold water. Add all-purpose flour and mix gently.
In a large skillet, heat canola oil to 340 degrees. F (for deep-fry)
Dip each shrimp in the tempura batter. Deep-fry until crisp and golden.