In a bowl, whisk together the mayonnaise, Thai chili sauce, and sriracha until fully combined and smooth. Add the lime juice and stir to incorporate. This creates the signature sweet and spicy sauce that defines bang bang shrimp. Set aside 1/4 cup of this sauce for mixing into the filling, and reserve the remaining sauce for serving alongside the egg rolls.

In a second bowl, combine the chopped shrimp, broccoli slaw, cilantro, garlic powder, and the 1/4 cup bang bang sauce you reserved from Step 1. Mix gently but thoroughly until all ingredients are evenly distributed and the shrimp is well coated with the sauce. The filling should feel moist but not soggy—this balance keeps the egg rolls crispy on the outside while staying flavorful inside.

Working with one egg roll wrapper at a time, place about 2-3 tablespoons of the shrimp filling mixture from Step 2 in the center of each wrapper. Wet the edges with water using your finger, then fold the bottom corner up over the filling, fold in the sides, and roll tightly toward the top corner to seal. I like to seal the final flap with a tiny dab of water to ensure it stays closed during air frying. Repeat with all 12 wrappers.

Arrange 6 of the assembled egg rolls in a single layer in your air fryer basket, seam-side down. Lightly spray all sides with olive oil—this is essential for achieving a golden, crispy exterior. Cook at 400°F for 6 minutes until they develop a light golden color on the bottom.

Carefully flip each egg roll to expose the other side, spray lightly with olive oil again, and continue cooking at 400°F for 6-7 minutes until all sides are golden and crispy. Transfer the finished batch to a serving plate. Repeat Steps 4 and 5 with the remaining 6 egg rolls.

Arrange all the cooked egg rolls on a serving platter and drizzle with or serve alongside the remaining bang bang sauce from Step 1. The sauce should be at room temperature or slightly chilled. Serve immediately while the egg rolls are still warm and crispy for the best texture contrast with the creamy, spicy sauce.