Preheat the oven to 355F / 180C / 160 fan.
Arrange tomatoes and onion on a non-stick baking tray, toss with 1 tablespoon of olive oil, 1 tablespoon of melted butter, garlic cloves, thyme, and half the salt and pepper.
Roast for 10 minutes.While the veggies roast, butterfly the peeled shrimp.
Place the shrimp in a bowl and toss with paprika, the remaining salt, and pepper.
Add the pepperoni and shrimp to the tray with the roasted vegetables.
Toss everything together and roast for an additional 3 minutes.
Once done, drain the juices from the pan into a tall cup.
Remove one garlic clove and about four tomatoes from the tray.
Return the pan to the oven and bake for 5 minutes to crisp up the pepperoni and finish cooking the shrimp to your liking.
Blend the drained juices with the reserved tomatoes and garlic using an immersion blender.
Pour the blended sauce into a pan and simmer for about 5 minutes to thicken.
Drizzle the sauce over the shrimp and veggies on the sheet pan, and finish with 2 tablespoons of olive oil, optional fresh thyme leaves, and cracked black pepper.