I prefer medium-sized Gulf shrimp for this recipe, but you can adjust it to whatever you have on hand. And keep in mind that this is how I like pickled shrimp; there are lots of variations on this dish.
Bring a couple quarts of water to a boil and boil the pearl onions for 3 minutes. Remove the onions but keep the water. Rinse the onion under cold water so you can handle them, then slice off the root end. Use your fingers to pop a cleaned onion out, leaving the peel in your hand. Compost the peels. Set the onions aside.
Add the Old Bay to the onion water and bring it back to a boil. Add the peeled shrimp and turn off the heat. Pull the shrimp out after a couple minutes, when they are just cooked through.
Divide the onions, sliced jalapenos and shrimp between three pint jars. Mix together the capers, a little of their brine, the thyme, mustard seeds, lemon juice and olive oil. Pour this evenly into the jars. Add a few spoonfulls of the cooking water.
The shrimp need to be completely submerged, so top up with some vinegar if you need to. Hand-seal the jars and keep in the refrigerator. They will last a week or two, and can be eaten 24 hours after they're made.