Preheat the oven to 425°F. Line a rimmed baking sheet with parchment paper.
Using a vegetable peeler, peel long strips of zest from 2 lemons. Juice zested lemons into a small bowl, set aside.
In a small saucepan, heat zest, cracked pepper, and garlic over medium heat until oil is hot, about 2 minutes. Remove from heat, and let cool. Reserve 1 tablespoon lemon-oil mixture.
Place broccolini on one half of the sheet pan. Spray with olive oil spray and then drizzle with 2 teaspoon of lemon-oil mixture.
Bake until broccoli begins to brown, about 5 minutes. Toss shrimp with lemon-oil mixture and place on other half of pan. Sprinkle with 2 tsp of salt. Halve remaining 2 lemons, and place on pan. Bake until shrimp are pink and firm, about 10 minutes. Remove from oven.
In a small bowl, whisk together reserved 1 tablespoon lemon-oil mixture, 1 tablespoon lemon juice, mustard, and remaining 1/2 teaspoon salt.
Serve immediately in a large serving bowl with lemon-oil mixture drizzled over broccolini. Sprinkle with chopped walnuts. Enjoy!