Heat oil in a large, wide skillet over medium-high. When oil is shimmers, add shallots and fry until lightly browned, about 2 minutes. Remove pan from heat and stir in Kashmiri chile, turmeric, black pepper and cayenne to make a paste.

Return pan to medium-high heat and add the coconut milk. Bring mixture to a simmer, stirring well. Let cook 2 minutes to thicken.

Add shrimp, season well with salt, and stir to coat. Add lemon juice and turn heat to medium. Cook, stirring until shrimp are pink and opaque, 2 to 3 minutes (depending on shrimp size). Taste sauce and adjust seasoning, then serve immediately with steamed basmati or jasmine rice and cilantro.