If frozen, defrost the shrimp and pat thoroughly dry with paper towels.
In a medium bowl, beat the egg white until slightly frothy; add the shrimp and toss to coat evenly.
Add the cornstarch and white pepper to the shrimp and mix until each piece is coated in a thin white batter.
Heat about 1 inch of vegetable oil in a small heavy-bottomed pot over medium-high heat until hot but not smoking.
Fry the shrimp in small batches, adding them one at a time so they don't stick together; cook 2–3 minutes per batch until slightly curled and light golden brown.
Use a slotted spoon to transfer fried shrimp to a paper towel–lined plate; continue frying remaining shrimp.
While the shrimp fry, whisk together the sweetened condensed milk, Kewpie mayo, honey, and sesame oil in a small bowl to make the sauce.
Place the fried shrimp in a clean bowl, drizzle with the sauce, and toss gently to coat.
Add the walnuts to the sauced shrimp, toss briefly to combine, and serve immediately.