Bring 2 cups of water to a boil in a small saucepan and then turn off the heat. Toast the chiles in a small skillet over medium-high heat until fragrant, about 1 minute per side. Stem the chiles, put them in the hot water, cover, and let sit until the skins are soft, about 15 minutes.
Meanwhile, combine the coconut milk, sugar, celery, lemon zest, garlic, peppercorns, bay leaf, and 1 tsp. salt in a medium saucepan. Bring to a boil and then turn off the heat.
Purée the chiles, 1 cup of the soaking water, and a pinch of salt in a blender. Add the purée to the coconut mixture. Bring to boil over high heat, reduce the heat to medium low, cover, and simmer for 25 to 30 minutes to meld the flavors.
Add the shrimp to the simmering liquid and cook until they start to curl, 1 to 2 minutes, adjusting the heat as needed to maintain a simmer. Turn off the heat and let the shrimp sit in the liquid until cooked through, about 1 minute. Strain through a fine strainer set over a bowl, reserving the liquid. Transfer the shrimp to a bowl and discard the remaining solids in the strainer. Pour the liquid back into its saucepan and boil over medium-high heat until reduced to a thick sauce, about 3 minutes. Season to taste with salt. Cool briefly and then stir 1/4 cup of the sauce into the shrimp. Refrigerate the shrimp. Discard the remaining sauce or refrigerate for another use.
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