In a large pot, bring 6 cups water and Old Bay seasoning to a boil. Add shrimp and cook for about 2 minutes, until shrimp are pink. Remove shrimp and place in a bowl with ice water to cool. Drain shrimp when chilled.
Add celery seed and coriander seed to a zip top bag and crush with a heavy object - I use a rolling pin. Place in a medium size bowl.
Add olive oil, lemon juice, vinegar, parsley, red pepper, salt, garlic and bay leaves. Stir, mixing well.
In a glass jar or serving bowl, layer onions, shrimp and lemons. Pour pickling brine over layers. Cover with plastic wrap and chill in refrigerator overnight until ready to serve.