Combine water and the Old Bay seasoning in a medium saucepan. Bring to a boil. Add the shrimp and cook for 3 minutes.
Drain the shrimp, and plunge in an ice water bath to stop the cooking.
Pack the shrimp and red onion in a large jar or medium bowl.
Stir together the vinegar, oil, lemon juice, sugar, and dill. Pour the mixture over the shrimp, making sure the shrimp and onions are submerged in the liquid. Seal or cover and refrigerate overnight and up to 2 days.
Uncover and season with Old Bay to taste.