Peel the shrimp, taking care not to peel the head or the tip of the tail. Slit open the back, but do not cut through the whole. Pour the pepper-flavored mozzarella into the slot. Then wrap a slice of bacon around each shrimp, starting with the head that should be sticking out, and then wrap the bacon in a spiral up to the tail. Brush with oil and either grill or bake in a preheated oven at 230 ° C for 7-10 minutes.
In the meantime, prepare the dip. To do this, mix together all the ingredients (sour cream, salt, pepper, lemon).