PREHEAT oven to 375°F. Separate dough into 8 triangles; cut each triangle crosswise in half to form 2 pieces. Place on large ungreased baking sheet; set aside. Mix mustard, mayo, pimientos and horseradish in medium bowl until well blended. Beat egg white with wire whisk until soft peaks form; gently stir into mustard mixture.
SPREAD about 1 Tbsp. of the mustard mixture onto each dough triangle; top each with 1 shrimp.
BAKE 12 to 15 min. or until golden brown. Serve warm.