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Mix the marinade. In a large bowl combine olive oil, dill weed, paprika, garlic powder, and a big pinch each of salt and pepper. Add baking soda, if using, along with the lemon zest (save the wedges for later). Whisk to combine.
Prep the shrimp. Pat the shrimp dry. Add them to the olive oil mixture, turning to completely coat each one.
Air fry the shrimp. Preheat the air fryer to 400°F. Transfer the shrimp to the air fryer basket, leaving a little space between each one. Air fry the shrimp until they are pink throughout, curled, and beginning to brown at the edges, 5 to 6 minutes. Serve with lemon wedges and chopped fresh dill, if you like.