Place parchment paper on flat surface, fold down 1 inch on each side using long sides, so you now have 10x20. Next place 12 shrimp in center of paper in a wheel formation. Sprinkle with 1/2 tsp. celery salt. Sprinkle with 1/4 tsp. black pepper.
Cut onion into 4 equal parts, place 1 divided part on top of shrimp. Cut celery stalks into 2 inch section and then in half lengthwise, place 2 pieces on top of shrimp next to onion pieces, 1 onion 1 celery and so forth. Cut lemon into wheels about 3/8-inch and then cut in half, place 1 piece on each side of onion/celery. Fold paper down from top, and up from bottom, fold corner to corner and fold under each end.
Preheat oven to 375 degrees F. If ready to cook place on cookie sheet. Open each baget slightly and place 1 Tbsp. water into each. Bake on middle rack for 8-10 minutes. (Can be prepared ahead of cooking for up to 2 days and held at 45 degrees F in your prefer.)