In a shallow baking dish, combine the onion, lime juice, capers, mustard and hot sauce. Set aside.
In a large saucepan, add the water, vinegar, cloves and bay leaf. Bring to a boil and add the shrimp. Cook for 1 minute, stirring constantly. Drain and transfer the shrimp to the shallow dish containing the onion mixture, making sure to discard the cloves and bay leaf. Stir to combine. Cover and refrigerate until well-chilled, about 1 hour.
To serve, divide the shrimp mixture among individual small bowls and garnish each with lime zest. Serve cold.