In a small bowl, whisk together soy sauce, honey, rice vinegar, water, sesame oil, minced garlic, and grated ginger to make the teriyaki sauce.
In another small bowl, mix cornstarch and cold water until smooth to create a slurry.
Pour the cornstarch slurry into the teriyaki sauce mixture and stir well.
Transfer the sauce mixture to a small saucepan and cook over medium heat, stirring constantly, until the sauce thickens, about 2-3 minutes. Remove from heat and set aside.
Place the shrimp in a mixing bowl and drizzle with vegetable oil. Toss to coat evenly.
Preheat the air fryer to 400°F (200°C) for 3 minutes.
Place the shrimp in a single layer in the air fryer basket. Cook for 4 minutes, then flip the shrimp and cook for an additional 4 minutes until shrimp are pink and cooked through.
Transfer the cooked shrimp to a large bowl and pour the thickened teriyaki sauce over them. Toss gently to coat all shrimp evenly.
Sprinkle toasted sesame seeds and sliced green onions over the shrimp before serving.