Heat oven to 400 with sheet pan in the oven.
Toss shrimp, peppers, and onions in a large bowl with avocado oil and spices.
Spread shrimp mixture onto hot sheet pan. Place in oven and cook for 8-10 minutes or until shrimp are cooked through.
While shrimp are cooking, prepare avocado sauce. Combine all ingredients in a food processor or blender. Blend until combined.