Melt butter in a small pan over high. While waiting for butter to melt, place yolks, lemon juice, hot water and salt in a blender. Whirl for 1 min.
Skim off and discard foam from melted butter. While blender is whirling, slowly pour butter through hole in lid . Whirl until thickened, about 3 min. Add 1/2 tsp smoked paprika to hollandaise during last 30 sec of whirling. Preheat oven to 350F. Place raw medium tail-on shrimp in a single layer in a shallow gratin dish. Drizzle with smoky hollandaise. Bake, uncovered, until top is lightly golden, about 12 to 15 min.