Preheat oven to 450F or 425F convection. Line a baking sheet with parchment paper.
Add veggies, 1 tablespoon oil, and ½ teaspoon salt and toss to coat. Bake for 15-20 minutes, or until veggies are cooked through and starting to darken in spots. Stir the veggies around and spread them out again.
Toss the shrimp with cumin, garlic, pepper, remaining 1 tablespoon oil, and ½ teaspoon salt to coat. Scatter the shrimp over or nestle them among the veggies and bake for 10-12 more minutes, or until the shrimp is cooked through.
Meanwhile, add all sauce ingredients to a high-speed blender and blend on high until smooth. If too thick, just add a bit more water (it should be very drizzle-able)..
To make the slaw, in a medium bowl, add cabbage, ¼ cup of sauce, and a pinch of salt and toss to coat.
Warm your tortillas and top with shrimp, veggies, slaw, and generously drizzle sauce over top. Top with cilantro and a squeeze of lime.