Rinse sushi rice under cold water until clear. Cook with water according to package instructions.
Warm rice vinegar, sugar, and salt until dissolved. Gently fold into cooked rice and let cool to room temperature.
Heat oil in a deep pot to 350°F (175°C).
In a bowl, lightly whisk egg with ice-cold sparkling water. Gently fold in flour, cornstarch, and baking powder, keeping batter slightly lumpy.
Dip shrimp into batter and fry in hot oil for 2–3 minutes until light golden and crispy. Drain on paper towels.
Place a sheet of nori on a bamboo mat. Spread a thin layer of rice evenly on top.
Arrange shrimp tempura, cucumber, and avocado across the center.
Roll tightly using the mat, sealing the edge with gentle pressure.
Slice into even pieces with a sharp, damp knife.
Garnish with sesame seeds and drizzle with sauce if desired. Serve immediately.