Spray two 13x9x2-inch metal baking pans with nonstick spray. Mix shrimp, peppers, oil, garlic, smoked paprika, and cayenne in large bowl to coat. Divide mixture between prepared pans, arranging shrimp in single layer. Sprinkle with salt and pepper. (Can be prepared 8 hours ahead. Cover and chill.) Preheat oven to 400°F. Roast shrimp 10 minutes. Turn shrimp; sprinkle with oregano. Roast until shrimp are just opaque in center, about 7 minutes longer. Transfer shrimp and peppers to platter. Place pans over 2 burners on medium heat. Add half of Sherry to each; boil until reduced by half, scraping up browned bits, about 2 minutes. Drizzle over shrimp and serve warm or at room temperature. *Sold at Middle Eastern markets, specialty foods stores, and some supermarkets.