Remove shells from shrimp, leaving tails intact. Remove back veins from shrimp. Cut down back of shrimp with sharp knife. Gently press shrimp with fingers to flatten.
Beat 1 egg, cornstarch, salt and pepper in a small bowl until blended. Add shrimp to egg mixture and toss until shrimp are completely coated.
Remove crusts from bread. Cut each slice into quarter. Place one shrimp, cut side down, on each bread piece. Gently press shrimp to adhere to bread. Brush or rub small amount of egg mixture over each shrimp.
Cut egg yolk and ham into 1/2 inch pieces. Place one piece each of egg yolk and ham and a scant 1/4 teaspoon chopped onion on each shrimp.
Heat oil in wok over medium−high heat until it reaches 375°F. Fry 3 or 4 shrimp−bread pieces at a time in the hot oil until golden, 1 to 2 minutes on each side. Drain on paper towel.
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