Boil water in a large pot and add in shrimp and Old Bay; let shrimp simmer 3 minutes or until fully cooked. Strain and let cool.
Combine shrimp, onion, pepper, vinegar, oil, salt, and pepper in a large resealable plastic bag and chill for 30 minutes; flip bag a few times to cover shrimp with marinade. Take shrimp out of bag, saving liquid.
Remove skin from shrimp and toss with the saved marinade.