Red wine onion jam: add a medium saucepan over medium heat. Add sliced red onions, red wine vinegar, red wine, sugar, salt, and black pepper.
Once everything is combined and simmering, reduce heat to low and simmer until the liquid is reduced by half. This will take approximately 30 minutes. The goal is for the onions to be soft and the liquid to become syrupy and thickened.
After the onion jam has thickened, stir in lemon juice and season with more salt and pepper, if needed.
Allow to cool fully and store in a sealed container in the refrigerator for up to two weeks.
Shrimp and dressing: preheat oven to 400 degrees F (204 C).
Toss peeled and deveined shrimp with olive oil, salt, and pepper. Place shrimp on 2 large sheet pans and bake for 7 to 8 minutes.
After they are fully cooked, remove the shrimp from the sheet pan and let them fully cool.
Using a large bowl, whisk together the lemon juice, mayonnaise, white wine vinegar, Dijon mustard, sugar, salt, and pepper. Add parsley, capers, dill, celery, scallions, and chopped shrimp. Stir until everything is fully combined.
Sandwich assembly: split your sandwich roll if it's not already. You can slice it all the way through or split it 2/3rds of the way and open it like a book.
Add some shrimp tossed in dressing into the bread roll. Top the shrimp with red wine onion jam.
Serve and enjoy.