Preheat the oven to 425 degrees F.
To make the sauce, combine tomato sauce, ketchup, vinegar, sugar, and garlic powder in a small bowl. Mix well and set aside.
Lightly spray a baking sheet with nonstick spray. Take a half-slice of bacon and coat it in the sauce. Wrap the sauce-covered bacon around a shrimp and place it, seam side down, on the baking sheet.
Repeat with the rest of the bacon and shrimp.
Bake in the oven until the shrimp are cooked through and the bacon is crispy, 10 to 15 minutes.