Adjust oven rack to upper-middle position and heat oven to 200 degrees. In large, heavy Dutch oven fitted with clip-on candy thermometer, heat oil over high heat to 385 degrees, 18 to 22 minutes.
While oil heats, make 2 shallow cuts about ¼ inch deep and 1 inch apart on underside of each shrimp. Whisk flour and cornstarch together in large bowl. Whisk egg and vodka together in second large bowl. Whisk seltzer water into egg mixture.
When oil reaches 385 degrees, pour liquid mixture into bowl with flour mixture and whisk gently until just combined (it is OK if small lumps remain). Submerge half of shrimp in batter. Using tongs, remove shrimp from batter 1 at a time, allowing excess batter to drip off, and carefully place in oil (temperature should now be at 400 degrees). Fry, stirring with chopstick or wooden skewer to prevent sticking, until light brown, 2 to 3 minutes. Using slotted spoon, transfer shrimp to paper towel-lined plate and sprinkle with salt. Once paper towels absorb excess oil, place shrimp on wire rack set in rimmed baking sheet and place in oven.
Return oil to 400 degrees, about 4 minutes, and repeat with remaining shrimp. Serve immediately with Dipping Sauce.
NOTE: Do not omit the vodka; it is critical for a crisp coating. For safety, use a Dutch oven with a capacity of at least 7 quarts. Be sure to begin mixing the batter when the oil reaches 385 degrees (the final temperature should reach 400 degrees). It is important to maintain a high oil temperature throughout cooking. If you are unable to find colossal shrimp (8-12 per pound), jumbo (16-20) or extra-large (21-25) may be substituted. Fry smaller shrimp in three batches, reducing the cooking time to 1½ to 2 minutes per batch. See Straighten Out Your Shrimp below for tips on preventing the shrimp from curling.
DIPPING SAUCE: Mix all ingredients in a medium bowl.