Preheat the oven to 425 degrees F (220 degrees C).

Combine red onion, bell pepper, mushrooms, zucchini, 2 tablespoons olive oil, salt, pepper, and paprika on a sheet pan and toss well to combine.

Roast in the preheated oven until vegetables are softened, about 15 minutes.

While vegetables are roasting, combine shrimp, 1 tablespoon olive oil, lemon zest, garlic powder, salt, and pepper in a bowl. Toss to combine.

Remove roasted vegetables from the oven and add shrimp to sheet pan, spreading everything out evenly in one layer. Return to oven and bake until shrimp are pink and cooked through, 5 to 7 minutes.