In bowl, combine ketchup, Worcestershire sauce, horseradish, fresh lemon juice, celery salt, garlic powder, salt and black pepper. Stir until well mixed then set aside.
After shrimp shells are removed and de-veined, rinse and pat dry the shrimp. Coat shrimp with oil, and then season with salt and pepper. Place the shrimp in the air fryer basket or tray in a single layer.
Air Fry shrimp at 400°F for 8-12 minutes, or until cooked through. Shrimp comes in different sizes so check halfway through to make sure it's cooked enough or to your liking. After air frying, let the shrimp cool completely and chill in the fridge until ready to serve.
Serve the cooked shrimp with the shrimp cocktail sauce and slices of fresh lemon and cucumbers. Garnish with fresh herbs if you are feeling fancy.