Combine the water, sugar, and butter in a small saucepan set over medium heat. Bring it to a boil, stirring occasionally until the sugar dissolves.
Add the walnuts and cook over medium-low heat for 3-4 minutes or until the syrup starts to thicken and coat the walnuts. Use a slotted spoon to transfer the walnuts to a baking sheet lined with parchment paper. Allow them to cool completely and harden.
In a small bowl, combine the mayonnaise, sweetened condensed milk, honey, and lemon juice. Add more honey for sweetness or more mayo for creaminess, as needed. Make up to 24 hours in advance. Keep stored in the refrigerator.
If frozen, thaw the shrimp completely, then peel off the shells. To devein the shrimp, use a sharp paring knife to make a shallow cut along the back of the shrimp and remove the dark vein. Rinse under cold water and transfer to a plate lined with paper towels. Pat the shrimp dry, then transfer the shrimp to a bowl and season with salt and black pepper.
Heat 2 inches of oil in a deep-frying skillet set over medium heat until 360 degrees Fahrenheit.
Whisk together the egg whites and the club soda in a medium bowl until frothy at medium-high speed, about 3 minutes. Stir in the tapioca flour (or cornstarch) until combined.
Add the shrimp to the batter, coating each one evenly. Shake off any excess batter.
Fry the shrimp in small batches – no more than 6-10 shrimp at a time, depending on the size of your skillet/shrimp. Cook for about 2–3 minutes on each side or until golden brown and crispy.
Remove the shrimp with a slotted spoon and set aside on a cooling rack set over a large pan to catch the oil. Return the oil back to temperature and repeat until all of the shrimp have been cooked.
Allow the shrimp to cool for about 10 minutes before placing them in a large bowl with the candied walnuts and prepared sauce. Use a rubber spatula to fold the shrimp and walnuts with the sauce gently.
Garnish with sliced green onions and serve immediately.