For the shrimp tempura: Whisk together the cornstarch and flour in a large bowl. Gradually whisk in the club soda. Set the bowl into an ice bath and whisk the batter until smooth. Whisk in the sesame seeds, salt and the lemon juice and zest. Check the batter's consistency; it should coat the back of a spoon and shouldn't run when you pull a finger through it across the spoon. If needed, thicken with more flour.
In a deep-fryer, add peanut oil to the recommended fill line; or add 4 inches of oil to a large saucepan. Heat the oil to 350 degrees F. In batches, dip the shrimp in the batter and then transfer to the deep-fryer--do not over crowd. Fry until lightly golden, flipping occasionally, 3 to 4 minutes. Drain on a paper-towel-lined baking sheet and sprinkle with salt as soon as the shrimp come out of the fryer.
For the spicy sauce: Whisk together the mayonnaise, Greek yogurt, sriracha, rice wine vinegar and lime juice in a bowl until well blended. Taste for heat; add more sriracha as desired.
Serve the shrimp hot with the spicy sauce on the side, for dipping.