Heat oven to 350°F.
Peel and devein shrimp making sure to leave tail on. Gently “butterfly” each shrimp by running knife down shrimp to open it up, but do not cut all the way through. Spread shrimp open to sit tail up. Sprinkle shrimp generously with seafood seasoning.
Unroll dough on work surface; separate into 8 triangles. Cut each triangle lengthwise into 2 equal pieces. Place 1 shrimp with tail up on shortest side of triangle; roll up dough to cover shrimp. Place on ungreased cookie sheet, tail up. Brush each wrapped shrimp with oil.
Bake 12 to 15 minutes or until shrimp are pink and dough is light golden brown and firm. Serve warm with coleslaw and hot sauce.