In a small bowl, combine mayo, sweet chili sauce, minced garlic, black pepper, rice vinegar, sriracha, and parsley to make the bang bang sauce.
Prepare the shrimp. Make three to five cuts going halfway down along the inner curve of each shrimp to straighten it out. Push down with your fingers to help straighten it into one line. Repeat with the rest of the shrimp.
Transfer the shrimp to a bowl and season with chili powder, paprika, salt, garlic powder, onion powder, and black pepper. Mix together well.
Add one shrimp along the egg roll wrapper, leaving the tail hanging out, and roll up tightly. Add water at the end to seal tightly. Repeat with the rest.
Heat oil to 350°F.
Drop the egg rolls in the oil and fry until golden brown all around. Fry in batches so they're not crowded.
Transfer to a wire rack to drain excess oil.
Enjoy with the bang bang sauce!